Locally robust semiparametric estimation

Victor Chernozhukov, Juan Carlos Escanciano, Hidehiko Ichimura and Whitney Newey

No CWP31/16, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions have zero derivative with respect to the first step and the first step does not affect the asymptotic variance. They are constructed by adding to the moment functions the adjustment term for first step estimation. Locally robust estimators have several advantages. They are vital for valid inference with machine learning in the first step, see Belloni et. al. (2012, 2014), and are less sensitive to the specification of the first step. They are doubly robust for affine moment functions, where moment conditions continue to hold when one first step component is incorrect. Locally robust moment conditions also have smaller bias that is flatter as a function of first step smoothing leading to improved small sample properties. Series first step estimators confer local robustness on any moment conditions and are doubly robust for affine moments, in the direction of the series approximation. Many new locally and doubly robust estimators are given here, including for economic structural models. We give simple asymptotic theory for estimators that use cross-fitting in the first step, including machine learning.

Keywords: Local robustness; double robustness; semiparametric estimation; bias; GMM (search for similar items in EconPapers)
JEL-codes: C13 C14 C21 D24 (search for similar items in EconPapers)
Date: 2016-08-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (56)

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Related works:
Journal Article: Locally Robust Semiparametric Estimation (2022)
Working Paper: Locally Robust Semiparametric Estimation (2020)
Working Paper: Locally robust semiparametric estimation (2018)
Working Paper: Locally robust semiparametric estimation (2016)
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