Uniform Confidence Bands for Infinite-Dimensional Partially Identified Parameters
Abstract
Infinite-dimensional parameters are ubiquitous in empirical economics. This paper develops an Imbens--Manski--Stoye type confidence band for infinite-dimensional partially identified parameters. In particular, we propose multiplier bootstrap-based construction of a uniform confidence band. By employing approximation theorems for suprema of non-centered empirical processes indexed by possibly non-Donsker classes chernozhukov2016empirical, we confirm the uniform validity of the proposed procedure.
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