Asymptotic expansions for some semiparametric program evaluation estimators

Hidehiko Ichimura and Oliver Linton

No 04/01, CeMMAP working papers from Institute for Fiscal Studies

Abstract: We investigate the performance of a class of semiparametric estimators of the treatment effect via asymptotic expansions. We derive approximations to the first two moments of the estimator that are valid to 'second order'. We use these approximations to define a method of bandwidth selection. We also propose a degrees of freedom like bias correction that improves the second order properties of the estimator but without requiring estimation of higher order derivatives of the unknown propensity score. We provide some numerical calibrations of the results.

Date: 2001-09-12
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.cemmap.ac.uk/wp-content/uploads/2020/08/CWP0401.pdf (application/pdf)

Related works:
Working Paper: Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators (2003)
Working Paper: Asymptotic expansions for some semiparametric program evaluation estimators (2003)
Working Paper: Asymptotic expansions for some semiparametric program evaluation estimators (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:04/01

DOI: 10.1920/wp.cem.2001.0401

Access Statistics for this paper

More papers in CeMMAP working papers from Institute for Fiscal Studies Contact information at EDIRC.
Bibliographic data for series maintained by Dermot Watson ().