Simple and honest confidence intervals in nonparametric regression

@article{Armstrong2016SimpleAH,
  title={Simple and honest confidence intervals in nonparametric regression},
  author={Timothy B. Armstrong and M. Koles{\'a}r},
  journal={arXiv: Applications},
  year={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 use critical values that take into account the possible bias of the estimator upon which the CIs are based. We show that this approach leads to CIs that are more efficient than conventional CIs that achieve coverage by… 

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