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Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

Chen, Xiaohong; Christensen, Timothy M. - In: Quantitative economics : QE ; journal of the … 9 (2018) 1, pp. 39-84

This paper makes several important contributions to the literature about non- parametric instrumental variables (NPIV ) estimation and inference on a structural function h 0 and functionals of h 0 .First,wederivesup-normconvergence rates for computationally simple sieve NPIV (series two-stage...

Persistent link: https://www.econbiz.de/10011884399

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Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

Chen, Xiaohong; Christensen, Timothy M. - 2017 - Revised: January 25, 2017

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h0 and its functionals. First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series 2SLS)...

Persistent link: https://www.econbiz.de/10011596624