Honest confidence sets in nonparametric IV regression and other ill-posed models
From MaRDI portal
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.
Recommendations
- Uniform confidence bands for functions estimated nonparametrically with instrumental variables
- Inference based on conditional moment inequalities
- Inference in nonparametric instrumental variables with partial identification
- Robust confidence sets in the presence of weak instruments
- Credibility of confidence sets in nonstandard econometric problems
Cites work
- A Note on Weak Convergence of Density Estimators in Hilbert Spaces
- A spectral method for deconvolving a density
- CLT in functional linear regression models
- Concentration inequalities. A nonasymptotic theory of independence
- Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings
- Functional linear regression with functional response
- Gaussian approximation of suprema of empirical processes
- Generalized non-parametric deconvolution with an application to earnings dynamics
- Global uniform risk bounds for wavelet deconvolution estimators
- Honest confidence regions for nonparametric regression
- scientific article; zbMATH DE number 3227378 (Why is no real title available?)
- Identification and estimation by penalization in nonparametric instrumental regression
- Instrumental variable estimation in functional linear models
- Instrumental Variable Estimation of Nonparametric Models
- Introduction to nonparametric estimation
- Linear operator equations. Approximation and regularization
- Local Rademacher complexities and oracle inequalities in risk minimization. (2004 IMS Medallion Lecture). (With discussions and rejoinder)
- Mathematical foundations of infinite-dimensional statistical models
- Methodology and convergence rates for functional linear regression
- Non-Parametric Confidence Bands in Deconvolution Density Estimation
- Nonparametric estimation in random coefficients binary choice models
- Nonparametric instrumental regression
- NONPARAMETRIC INSTRUMENTAL REGRESSION WITH ERRORS IN VARIABLES
- Nonparametric instrumental variable estimation of structural quantile effects
- Nonparametric methods for inference in the presence of instrumental variables
- On rate optimality for ill-posed inverse problems in econometrics
- Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression
- Oracle inequalities in empirical risk minimization and sparse recovery problems. École d'Été de Probabilités de Saint-Flour XXXVIII-2008.
- Rademacher penalties and structural risk minimization
- Rates of strong uniform consistency for multivariate kernel density estimators. (Vitesse de convergence uniforme presque sûre pour des estimateurs à noyaux de densités multivariées)
- Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
- Sieve Wald and QLR inferences on semi/nonparametric conditional moment models
- Some new asymptotic theory for least squares series: pointwise and uniform results
- Testing Hypotheses in the Functional Linear Model
- The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics
- The practice of non‐parametric estimation by solving inverse problems: the example of transformation models
- Tikhonov regularization for nonparametric instrumental variable estimators
- Uniform Central Limit Theorems
- Uniform confidence bands for functions estimated nonparametrically with instrumental variables
- Uniform confidence bands in deconvolution with unknown error distribution
- V.N. Sudakov’s Work on Expected Suprema of Gaussian Processes
Cited in
(15)- Adaptive estimation for some nonparametric instrumental variable models with full independence
- Statistical inference for the slope parameter in functional linear regression
- Uniform confidence bands for nonparametric errors-in-variables regression
- Nonparametric inference for counterfactual means: bias-correction, confidence sets, and weak IV
- Honest and adaptive confidence sets in L_p
- Credibility of confidence sets in nonstandard econometric problems
- Uniform confidence bands for functions estimated nonparametrically with instrumental variables
- A functional estimation approach to the first-price auction models
- Optimal weighting for linear inverse problems
- High-Dimensional Mixed-Frequency IV Regression
- On uniform confidence intervals for the tail index and the extreme quantile
- One-step smoothing splines instrumental regression
- Are unobservables separable??
- Adaptive estimation and uniform confidence bands for nonparametric structural functions and elasticities
- Honest Bayesian confidence sets for the \(L^2\)-norm
This page was built for publication: Honest confidence sets in nonparametric IV regression and other ill-posed models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5118575)
