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Conformal Prediction for Nonparametric Instrumental Regression

Econometrics 2026-03-27 v1 Machine Learning Applications Methodology Machine Learning

Abstract

We propose a method for constructing distribution-free prediction intervals in nonparametric instrumental variable regression (NPIV), with finite-sample coverage guarantees. Building on the conditional guarantee framework in conformal inference, we reformulate conditional coverage as marginal coverage over a class of IV shifts F\mathcal{F}. Our method can be combined with any NPIV estimator, including sieve 2SLS and other machine-learning-based NPIV methods such as neural networks minimax approaches. Our theoretical analysis establishes distribution-free, finite-sample coverage over a practitioner-chosen class of IV shifts.

Keywords

Cite

@article{arxiv.2603.25509,
  title  = {Conformal Prediction for Nonparametric Instrumental Regression},
  author = {Masahiro Kato},
  journal= {arXiv preprint arXiv:2603.25509},
  year   = {2026}
}
R2 v1 2026-07-01T11:39:21.575Z