Asymptotic expansions for some semiparametric program evaluation estimators

Hidehiko Ichimura and Oliver Linton

No CWP04/01, CeMMAP working papers from Centre for Microdata Methods and Practice, 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.

JEL-codes: C14 (search for similar items in EconPapers)
Date: 2001-09-12
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (20)

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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)
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