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Asymptotic Variance Estimator for Two-Step Semiparametric Estimators

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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.

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File URL: http://cowles.econ.yale.edu/P/cd/d18a/d1803.pdf
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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1803.

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Length: 50 pages
Date of creation: May 2011
Date of revision:
Publication status: Published in Review of Economics and Statistics, 94(2): 482-498
Handle: RePEc:cwl:cwldpp:1803

Note: CFP 1357
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Keywords: Two-step semiparametrics;

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References

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  5. Stephen Ryan, 2005. "The Costs of Environmental Regulation in a Concentrated Industry," Working Papers 0510, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
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  9. Martin Pesendorfer & Philipp Schmidt-Dengler, 2008. "Asymptotic Least Squares Estimators for Dynamic Games -super-1," Review of Economic Studies, Oxford University Press, vol. 75(3), pages 901-928.
  10. Allan Collard-Wexler, 2006. "Demand Fluctuations and Plant Turnover in the Ready-Mix Concrete Industry," Working Papers 06-25, New York University, Leonard N. Stern School of Business, Department of Economics.
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  15. Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006. "Efficient Estimation of Semiparametric Multivariate Copula Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1228-1240, September.
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Cited by:
  1. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "A practical asymptotic variance estimator for two-step semiparametric estimators," CeMMAP working papers CWP22/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Guofang Huang & Yingyao Hu, 2011. "Estimating production functions with robustness against errors in the proxy variables," CeMMAP working papers CWP35/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Maican, Florin & Orth, Matilda, 2012. "Productivity Dynamics and the Role of “Big-Box” Entrants in Retailing," Working Paper Series 898, Research Institute of Industrial Economics.
  4. Satimanon, Monthien & Lupi, Frank, 2010. "Comparison of Approaches to Estimating Demand for Payment for Environmental Services," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61288, Agricultural and Applied Economics Association.

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