A practical asymptotic variance estimator for two-step semiparametric estimators

Daniel Ackerberg, Xiaohong Chen () and Jinyong Hahn

No CWP22/11, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

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.

Date: 2011-06-05
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators (2012)
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