npiv-package: Nonparametric Instrumental Variables Estimation and Inference

In JeffreyRacine/npiv: Nonparametric Instrumental Variables Estimation and Inference

Nonparametric Instrumental Variables Estimation and Inference

Description

This package implements the nonparametric instrumental variables estimation and inference methods described in Chen, Christensen, and Kankanala (2024) and Chen and Christensen (2018). The function npiv estimates the nonparametric structural function h0 using B-splines and constructs uniform confidence bands for h0. The function npiv_choose_J performs data-driven choice of sieve dimension. All methods in this package apply to estimation and inference for nonparametric regression as a special case.

Details

This package provides a function npiv(...) with a simple interface for performing nonparametric instrumental variable estimation and inference.

Given a dependent variable vector Y, matrix of endogenous regressors X, and matrix of instruments W, npiv nonparametrically estimates the structural function h0 and its derivative using B-splines. npiv can also be used for estimting the conditional mean h0 of Y given X, as as well as the derivative of the conditional mean function, by nonparametric regression.

The function npiv also constructs uniform confidence bands for h0 and its derivative.

Sieve dimensions are determined in a data-dependent way if not provided by the user via the function npiv_choose_J, which implements the methods described in Chen, Christensen, and Kankanala (2024). This data-driven choice of sieve dimension ensures estimators of h0 and its derivatives converge at the optimal sup-norm rate. The resulting uniform confidence bands for h0 and its derivative contract within a logarithmic factor of the optimal rate. In this way, npiv facilitates fully data-driven estimation and uniform inference on h0 and its derivative.

If sieve dimensions are provided by the user, npiv implements the bootstrap-based procedure of Chen and Christensen (2018) to construct uniform confidence bands for h0 and its derivative.

Author(s)

Jeffrey S. Racine <[e-mail]>, Timothy Christensen <[e-mail]>

Maintainer: Timothy Christensen <[e-mail]>

References

Chen, X. and T. Christensen (2018). “Optimal Sup-norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression.” Quantitative Economics, 9(1), 39-85. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.3982/QE722")}

Chen, X., T. Christensen and S. Kankanala (2024). “Adaptive Estimation and Uniform Confidence Bands for Nonparametric Structural Functions and Elasticities.” Review of Economic Studies, forthcoming. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1093/restud/rdae025")}

JeffreyRacine/npiv documentation built on Jan. 17, 2025, 8:29 p.m.