Asymptotic expansions for some semiparametric program evaluation estimators
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.
|Date of creation:||May 2003|
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- Andrews, Donald W K, 1994. "Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 62(1), pages 43-72, January.
- Y. Nishiyama & P. M. Robinson, 2000. "Edgeworth Expansions for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 68(4), pages 931-980, July.
- Oliver Linton, 1994.
"Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models,"
Cowles Foundation Discussion Papers
1086, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver, 1996. "Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 12(01), pages 30-60, March.
- Oliver Linton, 1993.
"Second Order Approximation in the Partially Linear Regression Model,"
Cowles Foundation Discussion Papers
1065, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
- Srinivasan, T N, 1970. "Approximations to Finite Sample Moments of Estimators Whose Exact Sampling Distributions are Unknown," Econometrica, Econometric Society, vol. 38(3), pages 533-541, May.
- Robinson, P M, 1995. "The Normal Approximation for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 63(3), pages 667-680, May.
- Jones, M. C. & Sheather, S. J., 1991. "Using non-stochastic terms to advantage in kernel-based estimation of integrated squared density derivatives," Statistics & Probability Letters, Elsevier, vol. 11(6), pages 511-514, June.
- Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, vol. 75(2), pages 291-316, December.
- Hall, Peter & Marron, J. S., 1987. "Estimation of integrated squared density derivatives," Statistics & Probability Letters, Elsevier, vol. 6(2), pages 109-115, November.
- Rothenberg, Thomas J, 1988. "Approximate Power Functions for Some Robust Tests of Regression Coefficients," Econometrica, Econometric Society, vol. 56(5), pages 997-1019, September.
- Linton, Oliver & Xiao, Zhijie, 2001.
"Second-Order Approximation For Adaptive Regression Estimators,"
Cambridge University Press, vol. 17(05), pages 984-1024, October.
- Oliver Linton & Zhijie Xiao, 2001. "Second-order approximation for adaptive regression estimators," LSE Research Online Documents on Economics 317, London School of Economics and Political Science, LSE Library.
- James J. Heckman & Hidehiko Ichimura & Petra Todd, 1998. "Matching As An Econometric Evaluation Estimator," Review of Economic Studies, Oxford University Press, vol. 65(2), pages 261-294.
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