A practical asymptotic variance estimator for two-step semiparametric estimators
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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| Date of creation: | 05 Jun 2011 |
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| Handle: | RePEc:ifs:cemmap:22/11 |
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