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Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators Author info | Abstract | Publisher info | Download info | Related research | Statistics Hidehiko Ichimura
Oliver Linton
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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.
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Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number
/2003/451.
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Date of creation: May 2003Date of revision:
Handle: RePEc:cep:stiecm:/2003/451Contact details of provider: Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp
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Keywords: Bandwidth selection ; kernel estimation ; program evaluation ; semiparametric estimation ; treatment effect. ; Other versions of this item:
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