Asymptotic normality of a nonparametric instrumental variables estimator

作者：Horowitz Joel L^*

来源：International Economic Review, 2007, 48(4): 1329-1349.

This article gives conditions under which the nonparametric instrumental variables estimator of Hall and Horowitz (Annals of Statistics 33 (December 2005), 2904-2929) is asymptotically normally distributed. With sufficiently large samples, the asymptotic normality result can be used to form confidence intervals for the unknown function that is estimated by the Hall-Horowitz procedure. The article reports the results of a Monte Carlo investigation of the finite-sample coverage probabilities of the confidence intervals.

• 出版日期2007-11
• 单位西北大学