Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators

Hidehiko Ichimura and Oliver Linton

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

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.

Keywords: Bandwidth selection; kernel estimation; program evaluation; semiparametric estimation; treatment effect. (search for similar items in EconPapers)
Date: 2003-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://sticerd.lse.ac.uk/dps/em/em451.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 (2001)
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:cep:stiecm:451

Access Statistics for this paper

More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Bibliographic data for series maintained by ().