Honest confidence sets in nonparametric IV regression and other ill-posed models
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Publication:5118575
Abstract: This paper develops inferential methods for a very general class of ill-posed models in econometrics encompassing the nonparametric instrumental variable regression, various functional regressions, and the density deconvolution. We focus on uniform confidence sets for the parameter of interest estimated with Tikhonov regularization, as in Darolles, Fan, Florens, and Renault (2011). Since it is impossible to have inferential methods based on the central limit theorem, we develop two alternative approaches relying on the concentration inequality and bootstrap approximations. We show that expected diameters and coverage properties of resulting sets have uniform validity over a large class of models, i.e., constructed confidence sets are honest. Monte Carlo experiments illustrate that introduced confidence sets have reasonable width and coverage properties. Using U.S. data, we provide uniform confidence sets for Engel curves for various commodities.
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Cited in
(12)- Statistical inference for the slope parameter in functional linear regression
- Uniform confidence bands for nonparametric errors-in-variables regression
- A functional estimation approach to the first-price auction models
- Credibility of confidence sets in nonstandard econometric problems
- High-Dimensional Mixed-Frequency IV Regression
- Honest and adaptive confidence sets in L_p
- Optimal weighting for linear inverse problems
- Nonparametric inference for counterfactual means: bias-correction, confidence sets, and weak IV
- Honest Bayesian confidence sets for the \(L^2\)-norm
- Adaptive estimation for some nonparametric instrumental variable models with full independence
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