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Uniform confidence bands for nonparametric errors-in-variables regression
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DOI：10.1016/j.jeconom.2019.05.021.png)
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摘要
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This paper develops a method to construct uniform confidence bands for a nonparametric regression function where a predictor variable is subject to a measurement error. We allow for the distribution of the measurement error to be unknown, but assume the availability of validation data or repeated measurements on the latent predictor variable. The proposed confidence band builds on the deconvolution kernel estimation and a novel application of the multiplier bootstrap method. We establish asymptotic validity of the proposed confidence band. To our knowledge, this is the first paper to derive asymptotically valid uniform confidence bands for nonparametric errors-in-variables regression. (C) 2019 Elsevier B.V. All rights reserved.
Keyword:
Confidence band
Deconvolution
Errors-in-variables regression
Multiplier bootstrap
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被引数:
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