Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

@article{Chen2015OptimalSR,
  title={Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression},
  author={Xiaohong Chen and Timothy M. Christensen},
  journal={Quantitative Economics},
  year={2015},
  volume={9},
  pages={39-84}
}
This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h0 and functionals of h0. First, we derive sup‐norm convergence rates for computationally simple sieve NPIV (series two‐stage least squares) estimators of h0 and its derivatives. Second, we derive a lower bound that describes the best possible (minimax) sup‐norm rates of estimating h0 and its derivatives, and show that the sieve… Expand

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