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非参数推断的偏差界方法AI 解读

Abstract The traditional approach to obtain valid confidence intervals for non-parametric quantities is to select a smoothing parameter such that the bias of the estimator is negligible relative to its standard deviation. While this approach is apparently simple, it has two drawbacks: first, the question of optimal bandwidth selection is no longer well-defined, as it is not clear what ratio of bias to standard deviation should be considered negligible. Second, since the…

非线性测量误差模型的工具变量估计AI 解读

This paper establishes that instruments enable the identification of nonparametric regression models in the presence of measurement error by providing a closed form solution for the regression function in terms of Fourier transforms of conditional expectations of observable variables. For parametrically specified regression functions, we propose a root n consistent and asymptotically normal estimator that takes the familiar form of a generalized method of moments estimator…