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ASYMPTOTIC NORMALITY OF A NONPARAMETRIC INSTRUMENTAL VARIABLES ESTIMATOR *
Author(s) -
Horowitz Joel L.
Publication year - 2007
Publication title -
international economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.658
H-Index - 86
eISSN - 1468-2354
pISSN - 0020-6598
DOI - 10.1111/j.1468-2354.2007.00464.x
Subject(s) - nonparametric statistics , estimator , mathematics , asymptotic distribution , confidence interval , statistics , instrumental variable , normality , monte carlo method , asymptotic analysis , econometrics
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.