Optimal Sup-norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression
非参数工具变量回归非线性泛函的最优上确界范数速率与一致推断
This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function $h_0$ and its functionals. First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series 2SLS) estimators of $h_0$ and its derivatives. Second, we derive a lower bound that describes the best possible (minimax) sup-norm rates of estimating $h_0$ and its derivatives, and show that the…