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Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias … overcome this problem it is common practice to either undersmooth, so as to reduce the impact of bias, or oversmooth, and … thereby introduce an explicit or implicit bias estimator. However, these approaches, and others based on nonstandard smoothing …
Persistent link: https://www.econbiz.de/10009554351
This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally distributed. The asymptotic normality result holds in...
Persistent link: https://www.econbiz.de/10003869256
This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally mental variables estimator is pointwise asymptotically...
Persistent link: https://www.econbiz.de/10003990115
Persistent link: https://www.econbiz.de/10012623431
model. Any method for constructing a confidence interval or band for this function must deal with the asymptotic bias of … undersmoothing or explicit bias correction. The latter usually requires oversmoothing. However, there are no satisfactory empirical …
Persistent link: https://www.econbiz.de/10011581535
The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one's data or a model estimated from the data. Under conditions that hold in a wide variety of econometric applications, the bootstrap provides approximations to distributions of statistics,...
Persistent link: https://www.econbiz.de/10011901480
We consider penalized extremum estimation of a high-dimensional, possibly nonlinear model that is sparse in the sense that most of its parameters are zero but some are not. We use the SCAD penalty function, which provides model selection consistent and oracle efficient estimates under suitable...
Persistent link: https://www.econbiz.de/10014246345
Persistent link: https://www.econbiz.de/10003359657
This paper is concerned with inference about an unidentified linear functional, L(g), where the function g satisfies the relation Y=g(x) + U; E(U/W) = 0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X, and U is an...
Persistent link: https://www.econbiz.de/10009554348
Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias … overcome this problem, it is common practice to either undersmooth, so as to reduce the impact of bias, or oversmooth, and … thereby introduce an explicit or implicit bias estimator. However, these approaches and others based on nonstandard smoothing …
Persistent link: https://www.econbiz.de/10009759778