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Robustness of Bootstrap in Instrumental Variable Regression
Camponovo, Lorenzo - 2011
This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular …, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics … by applying the breakdown point theory, which focuses on behaviors of the bootstrap quantiles when outliers take …
Persistent link: https://www.econbiz.de/10013126073
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A Simple Adjustment for Bandwidth Snooping
Armstrong, Timothy - 2017
Kernel-based estimators such as local polynomial estimators in regression discontinuity designs are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence...
Persistent link: https://www.econbiz.de/10012952734
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Simple and Honest Confidence Intervals in Nonparametric Regression
Armstrong, Timothy - 2018
We consider the problem of constructing honest confidence intervals (CIs) for a scalar parameter of interest, such as the regression discontinuity parameter, in nonparametric regression based on kernel or local polynomial estimators. To ensure that our CIs are honest, we derive novel critical...
Persistent link: https://www.econbiz.de/10012911764
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A Simple Adjustment for Bandwidth Snooping
Armstrong, Timothy - 2015
Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is...
Persistent link: https://www.econbiz.de/10013018507
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A Simple Adjustment for Bandwidth Snooping
Armstrong, Timothy - 2014
Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is...
Persistent link: https://www.econbiz.de/10013043191
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Simple and Honest Confidence Intervals in Nonparametric Regression
Armstrong, Timothy - 2018
We consider the problem of constructing honest confidence intervals (CIs) for a scalar parameter of interest, such as the regression discontinuity parameter, in nonparametric regression based on kernel or local polynomial estimators. To ensure that our CIs are honest, we derive and tabulate...
Persistent link: https://www.econbiz.de/10012924478
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A Simple Adjustment for Bandwidth Snooping
Armstrong, Timothy - 2016
Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is...
Persistent link: https://www.econbiz.de/10012981018
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Simple and Honest Confidence Intervals in Nonparametric Regression
Armstrong, Timothy - 2016
We consider the problem of constructing honest confidence intervals (CIs) for a scalar parameter of interest, such as the regression discontinuity parameter, in nonparametric regression based on kernel or local polynomial estimators. To ensure that our CIs are honest, we derive and tabulate...
Persistent link: https://www.econbiz.de/10012981659
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Simple and Honest Confidence Intervals in Nonparametric Regression
Armstrong, Timothy; Kolesár, Michal - 2016
We consider the problem of constructing honest confidence intervals (CIs) for a scalar parameter of interest, such as the regression discontinuity parameter, in nonparametric regression based on kernel or local polynomial estimators. To ensure that our CIs are honest, we derive and tabulate...
Persistent link: https://www.econbiz.de/10014127040
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Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals
Chen, Xiaohong - 2011
This paper studies nonparametric estimation of conditional moment restrictions in which the generalized residual functions can be nonsmooth in the unknown functions of endogenous variables. This is a nonparametric nonlinear instrumental variables (IV) problem. We propose a class of penalized...
Persistent link: https://www.econbiz.de/10013130682