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Replication data and files for Chen and Christensen (2017): "Optimal Sup-norm rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression"

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README.md

NPIV

Replication Matlab codes and data for Chen and Christensen (2017): "Optimal Sup-norm rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression".

Replicating the empirical applications

The file "run_app_cs_dwl.m" reproduces the plots of bootstrap uniform confidence bands for exact consumer surplus and deadweight loss for the household gasoline demand application. The file "run_app_engel.m" reproduces the plots of bootstrap uniform confidence bands for the Engel curve application.

For the CS/DL application, the file bhp_filter.R generates the csv file bhp_new.csv.

Replicating the simulation exercise

The file "run_sim_ucb.m" reproduces the simulation results.

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Replication data and files for Chen and Christensen (2017): "Optimal Sup-norm rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression"

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