?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fpublications.ut-capitole.fr%2Fid%2Feprint%2F24049%2F&rft.title=Honest+confidence+sets+in+nonparametric+IV+regression+and+other+ill-posed+models&rft.creator=Babii%2C+Andrii&rft.subject=B-+ECONOMIE+ET+FINANCE&rft.description=This+paper+provides+novel+methods+for+inference+in+a+very+general+class+of+ill-posed+models+in+econometrics%2C+encompassing+the+nonparametric+instrumental+regression%2C+different+functional+regressions%2C+and+the+deconvolution.+I+focus+on+uniform+confidence+sets+for+the+parameter+of+interest+estimated+with+Tikhonov+regularization%2C+as+in+Darolles%2C+Fan%2C+Florens%2C+and+Renault+(2011).+I+first+show+that+it+is+not+possible+to+develop+inferential+methods+directly+based+on+the+uniform+central+limit+theorem.+To+circumvent+this+difficulty+I+develop+two+approaches+that+lead+to+valid+confidence+sets.+I+characterize+expected+diameters+and+coverage+properties+uniformly+over+a+large+class+of+models+(i.e.+constructed+confidence+sets+are+honest).+Finally%2C+I+illustrate+that+introduced+confidence+sets+have+reasonable+width+and+coverage+properties+in+samples+commonly+used+in+applications+with+Monte+Carlo+simulations+and+considering+application+to+Engel+curves.&rft.publisher=TSE+Working+Paper&rft.date=2017-05&rft.type=Monograph&rft.type=NonPeerReviewed&rft.format=text&rft.language=fr&rft.identifier=https%3A%2F%2Fpublications.ut-capitole.fr%2Fid%2Feprint%2F24049%2F1%2FBabii_24049.pdf&rft.identifier=++Babii%2C+Andrii+%3Chttps%3A%2F%2Fwww.idref.fr%2F201767503%3E++(2017)+Honest+confidence+sets+in+nonparametric+IV+regression+and+other+ill-posed+models.++TSE+Working+Paper%2C+n.+17-803%2C+Toulouse+++++&rft.relation=http%3A%2F%2Ftse-fr.eu%2Fpub%2F31687&rft.language=en