A practical asymptotic variance estimator for two-step semiparametric estimators
Daniel Ackerberg (),
Xiaohong Chen () and
No CWP22/11, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
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.
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Journal Article: A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators (2012)
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