Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Mar, 2018, Volume 9, Issue 1
Xiaohong Chen, Timothy M. Christensen
This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h0 and functionals of h0. First, we derive sup‐norm convergence rates for computationally simple sieve NPIV (series two‐stage least squares) estimators of h0 and its derivatives. Second, we derive a lower bound that describes the best possible (minimax) sup‐norm rates of estimating h0 and its derivatives, and show that the sieve NPIV estimator can attain the minimax rates when h0 is approximated via a spline or wavelet sieve. Our optimal sup‐norm rates surprisingly coincide with the optimal root‐mean‐squared rates for severely ill‐posed problems, and are only a logarithmic factor slower than the optimal root‐mean‐squared rates for mildly ill‐posed problems. Third, we use our sup‐norm rates to establish the uniform Gaussian process strong approximations and the score bootstrap uniform confidence bands (UCBs) for collections of nonlinear functionals of h0 under primitive conditions, allowing for mildly and severely ill‐posed problems. Fourth, as applications, we obtain the first asymptotic pointwise and uniform inference results for plug‐in sieve t‐statistics of exact consumer surplus (CS) and deadweight loss (DL) welfare functionals under low‐level conditions when demand is estimated via sieve NPIV. Our real data application of UCBs for exact CS and DL functionals of gasoline demand reveals interesting patterns and is applicable to other goods markets.
Series two‐stage least squares optimal sup‐norm convergence rates uniform Gaussian process strong approximation score bootstrap uniform confidence bands nonlinear welfare functionals nonparametric demand with endogeneity C13 C14 C36
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.