Asymptotic expansions for some semiparametric program evaluation estimators

Hidehiko Ichimura and Oliver Linton

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2003-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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http://eprints.lse.ac.uk/2098/ Open access version. (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)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2098

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