Inference under shape restrictions

Organisation
Econometrics
Start date

Thursday, 15 Nov 2018, 16:00

End date

Thursday, 15 Nov 2018, 17:00

Room
H10-31
Building
Tinbergen Building
Location
Campus Woudestein
Workshop: Machine Learning

Joachim Freyberger (Wisconsin Madison)

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 finite dimensional and nonparametric problems, such as regressions or instrumental variable estimation, to both kernel or series estimators, and to many different shape restrictions. A major application of our inference method is to construct uniform confidence bands for an unknown function of interest. Our confidence bands are asymptotically equivalent to standard unrestricted confidence bands if the true function strictly satisfies 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. 

More information

Coordinator: Andreas Alfons, alfons@ese.eur.nl and Wendun Wang, wang@ese.eur.nl

Contact: Anneke Kop, eb-secr@ese.eur.nl