Chen, Xiaohong; Christensen, Timothy - Cowles Foundation for Research in Economics, Yale University - 2013
statistics. We first establish a general upper bound on the sup-norm (uniform) convergence rate of a sieve estimator, allowing … for endogenous regressors and weakly dependent data. This result leads to the optimal sup-norm convergence rates for … bound also yields the sup-norm convergence rates for sieve NPIV estimators under i.i.d. data: the rates coincide with the …