Amsterdam Econometrics Seminars and Workshop Series

Speaker(s)
Joachim Freyberger (University of Wisconsin-Madison, United States)
Date
Friday, 16 November 2018
Location
Amsterdam

We propose a uniformly valid inference method for an unknown function or parameter vector satisfying certain shape restrictions. The method applies very generally, namely to a wide range of nite dimensional and nonparametric problems, such as regressions or instrumental variable estimation, to both kernel or series estimators, and to many di erent shape restrictions. One application of our inference method is to construct uniform con dence bands for an unknown function of interest. These bands are build around a shape restricted estimator and the upper and lower bound functions are consistent with the shape restrictions. Moreover, the bands are asymptotically equivalent to standard unrestricted con dence bands if the true function strictly satis es all shape restrictions, but they can be much smaller if some of the shape restrictions are binding or close to binding. We illustrate these sizable width gains as well as the wide applicability of our method in Monte Carlo simulations and in an empirical application. Keywords: Shape restrictions, inference, nonparametric, uniform con dence bands. Joint with Brandon Reeves.