Asymptotic Variance Estimator for Two-Step Semiparametric Estimators

Daniel Ackerberg, Xiaohong Chen () and Jinyong Hahn

No 1803, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: The goal of this paper is to develop techniques to simplify semiparametric inference. We do this by deriving a number of numerical equivalence results. These illustrate that in many cases, one can obtain estimates of semiparametric variances using standard formulas derived in the already-well-known parametric literature. This means that for computational purposes, an empirical researcher can ignore the semiparametric nature of the problem and do all calculations "as if" it were a parametric situation. We hope that this simplicity will promote the use of semiparametric procedures.

Keywords: Two-step; semiparametrics (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2011-05
New Economics Papers: this item is included in nep-ecm
Note: CFP 1357
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published in Review of Economics and Statistics, 94(2): 482-498

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