eprintid: 24049
rev_number: 12
eprint_status: archive
userid: 1482
importid: 105
dir: disk0/00/02/40/49
datestamp: 2017-05-15 13:17:43
lastmod: 2021-04-02 15:55:45
status_changed: 2017-05-15 13:17:43
type: monograph
metadata_visibility: show
creators_name: Babii, Andrii
creators_idrefppn: 201767503
title: Honest confidence sets in nonparametric IV regression and other ill-posed models
ispublished: pub
subjects: subjects_ECO
abstract: This paper provides novel methods for inference in a very general class of ill-posed models in econometrics, encompassing the nonparametric instrumental regression, different functional regressions, and the deconvolution. I focus on uniform confidence sets for the parameter of interest estimated with Tikhonov regularization, as in Darolles, Fan, Florens, 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, 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.
date: 2017-05
date_type: published
publisher: TSE Working Paper
official_url: http://tse-fr.eu/pub/31687
faculty: tse
divisions: tse
keywords: nonparametric instrumental regression
keywords: functional linear regression
keywords: density deconvolution
keywords: honest uniform confidence sets
keywords: non-asymptotic inference
keywords: ill-posed models
keywords: Tikhonov regularization
language: en
has_fulltext: TRUE
subjectsJEL: JEL_C14
view_date_year: 2017
full_text_status: public
monograph_type: working_paper
series: TSE Working Paper
volume: 17-803
place_of_pub: Toulouse
pages: 56
institution: Université Toulouse 1 Capitole
department: Toulouse School of Economics
book_title: TSE Working Paper
oai_identifier: oai:tse-fr.eu:31687
harvester_local_overwrite: oai_set
harvester_local_overwrite: department
harvester_local_overwrite: faculty
harvester_local_overwrite: place_of_pub
harvester_local_overwrite: pages
harvester_local_overwrite: institution
harvester_local_overwrite: creators_idrefppn
oai_lastmod: 2017-05-09T12:00:22Z
oai_set: tse
oai_set: ut1c
site: ut1
citation:   Babii, Andrii <https://www.idref.fr/201767503>  (2017) Honest confidence sets in nonparametric IV regression and other ill-posed models.  TSE Working Paper, n. 17-803, Toulouse     
document_url: https://publications.ut-capitole.fr/id/eprint/24049/1/Babii_24049.pdf