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A simple bootstrap method for constructing nonparametric confidence bands for functions

Hall, Peter; Horowitz, Joel - 2012

Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias … overcome this problem it is common practice to either undersmooth, so as to reduce the impact of bias, or oversmooth, and … thereby introduce an explicit or implicit bias estimator. However, these approaches, and others based on nonstandard smoothing …

Persistent link: https://www.econbiz.de/10009554351

Kernel block bootstrap

Parente, Paulo M. D. C.; Smith, Richard J. - 2018 - This draft: July 2018

shows the large sample validity of the kernel block bootstrap and derives the higher order bias and variance of the kernel … estimator has a favourable higher order bias property. Simulations based on the designs of Paparoditis and Politis (2001 …

Persistent link: https://www.econbiz.de/10011878210

Cross-fitting and fast remainder rates for semiparametric estimation

Newey, Whitney K.; Robins, James M. - 2017

There are many interesting and widely used estimators of a functional with ﬁnite semi-parametric variance bound that depend on nonparametric estimators of nuisance func-tions. We use cross-ﬁtting to construct such estimators with fast remainder rates. We give cross-ﬁt doubly robust...

Persistent link: https://www.econbiz.de/10011758040

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Horowitz, Joel; Lee, Sokbae - 2010

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally mental variables estimator is pointwise asymptotically...

Persistent link: https://www.econbiz.de/10003990115

Testing for a general class of functional inequalities

Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014

In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a uni ed framework, with a number of possible applications in auction models, game theoretic models, wage inequality, and...

Persistent link: https://www.econbiz.de/10010254852

Identification and shape restrictions in nonparametric instrumental variables estimation

Freyberger, Joachim; Horowitz, Joel - 2013

This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

Persistent link: https://www.econbiz.de/10009761386

A bootstrap test for instrument validity in heterogeneous treatment effect models

Kitagawa, Toru - 2013

This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. A necessary testable implication for the joint restriction of instrument exogeneity and instrument monotonicity is given...

Persistent link: https://www.econbiz.de/10010190476

Likelihood inference in some finite mixture models

Chen, Xiaohong; Ponomareva, Maria; Tamer, Elie T. - 2013 - Current version May 6, 2013

Parametric mixture models are commonly used in applied work, especially empiri- cal economics, where these models are often employed to learn for example about the proportions of various types in a given population. This paper examines the inference question on the proportions (mixing...

Persistent link: https://www.econbiz.de/10009742927

Testing regression monotonicity in econometric models

Chetverikov, Denis - 2012

Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust comparative statics. It is therefore important to design effective and practical econometric methods for testing this prediction in empirical analysis. This paper develops a general nonparametric...

Persistent link: https://www.econbiz.de/10009667989

Inference for functions of partially identified parameters in moment inequality models

Bugni, Federico A.; Canay, Ivan A.; Shi, Xiaoxia - 2014 - Ver. 10.2: May 4, 2014

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. As a special case, our method yields marginal confidence sets for individual coordinates of this parameter vector. Our inference method controls asymptotic size...

Persistent link: https://www.econbiz.de/10010348998