Honest confidence sets in nonparametric IV regression and other ill-posed models

DOI10.1017/S0266466619000380zbMATH Open1447.62042arXiv1611.03015WikidataQ109041666 ScholiaQ109041666MaRDI QIDQ5118575FDOQ5118575

Andrii Babii

Publication date: 26 August 2020

Published in: Econometric Theory (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1611.03015

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zbMATH Keywords

nonparametric regressionconfidence setinstrumental variable (IV) regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20) Nonparametric tolerance and confidence regions (62G15)

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Cited In (10)

• Statistical inference for the slope parameter in functional linear regression
• A functional estimation approach to the first-price auction models
• Uniform confidence bands for nonparametric errors-in-variables regression
• 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
• On uniform confidence intervals for the tail index and the extreme quantile

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