EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://cemmap.ifs.org.uk/wps/cwp2211.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://cemmap.ifs.org.uk/wps/cwp2211.pdf [301 Moved Permanently]--> http://www.cemmap.ac.uk/wps/cwp2211.pdf)

Related works:
Journal Article: A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators (2012) Downloads
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:ifs:cemmap:22/11

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().

 
Page updated 2020-09-19
Handle: RePEc:ifs:cemmap:22/11