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:||12 Sep 2001|
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1065, Cowles Foundation for Research in Economics, Yale University.
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- 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.
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- 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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