EconPapers    
Economics at your fingertips  
 

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 (4) Track citations by RSS feed

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

Downloads: (external link)
http://cowles.yale.edu/sites/default/files/files/pub/d18/d1803.pdf (application/pdf)

Related works:
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:cwl:cwldpp:1803

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Matthew Regan ().

 
Page updated 2020-10-28
Handle: RePEc:cwl:cwldpp:1803