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 . 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}
}