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Bootstrapping Kernel-Based Semiparametric Estimators

Author

Listed:
  • Matias D. Cattaneo

    () (University of Michigan)

  • Michael Jansson

    () (UC Berkeley and CREATES)

Abstract

This paper develops alternative asymptotic results for a large class of two-step semiparametric estimators. The first main result is an asymptotic distribution result for such estimators and differs from those obtained in earlier work on classes of semiparametric two-step estimators by accommodating a non-negligible bias. A noteworthy feature of the assumptions under which the result is obtained is that reliance on a commonly employed stochastic equicontinuity condition is avoided. The second main result shows that the bootstrap provides an automatic method of correcting for the bias even when it is non-negligible.

Suggested Citation

  • Matias D. Cattaneo & Michael Jansson, 2014. "Bootstrapping Kernel-Based Semiparametric Estimators," CREATES Research Papers 2014-25, Department of Economics and Business Economics, Aarhus University.
  • Handle: RePEc:aah:create:2014-25
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    File URL: ftp://ftp.econ.au.dk/creates/rp/14/rp14_25.pdf
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    References listed on IDEAS

    as
    1. Andrews, Donald W K, 1994. "Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 62(1), pages 43-72, January.
    2. Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers CWP77/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function Is Not Smooth," Econometrica, Econometric Society, vol. 71(5), pages 1591-1608, September.
    4. J. Horowitz, 1996. "Bootstrap Critical Values For Tests Based On The Smoothed Maximum Score Estimator," SFB 373 Discussion Papers 1996,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
    6. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
    7. Hausman, Jerry A & Newey, Whitney K, 1995. "Nonparametric Estimation of Exact Consumers Surplus and Deadweight Loss," Econometrica, Econometric Society, vol. 63(6), pages 1445-1476, November.
    8. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
    9. Y. Nishiyama & P. M. Robinson, 2000. "Edgeworth Expansions for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 68(4), pages 931-980, July.
    10. Hahn, Jinyong, 1996. "A Note on Bootstrapping Generalized Method of Moments Estimators," Econometric Theory, Cambridge University Press, vol. 12(01), pages 187-197, March.
    11. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2013. "Generalized Jackknife Estimators of Weighted Average Derivatives," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(504), pages 1243-1256, December.
    12. Joel L. Horowitz, 1996. "Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator," Econometrics 9603003, EconWPA.
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    Cited by:

    1. Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey, 2016. "Locally robust semiparametric estimation," CeMMAP working papers CWP31/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Dante Amengual & Enrique Sentana, 2016. "Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(2), pages 248-252.

    More about this item

    Keywords

    Semiparametric estimation; bootstrapping; asymptotic separability.;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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