Corpus ID: 236429103

Adaptive Estimation and Uniform Confidence Bands for Nonparametric IV

@inproceedings{Chen2021AdaptiveEA,
  title={Adaptive Estimation and Uniform Confidence Bands for Nonparametric IV},
  author={Xiaohong Chen and T. Christensen and Sid Kankanala},
  year={2021}
}
We introduce computationally simple, data-driven procedures for estimation and inference on a structural function $h_0$ and its derivatives in nonparametric models using instrumental variables. Our first procedure is a bootstrap-based, data-driven choice of sieve dimension for sieve nonparametric instrumental variables (NPIV) estimators. When implemented with this data-driven choice, sieve NPIV estimators of $h_0$ and its derivatives are adaptive: they converge at the best possible (i.e… Expand

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