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A practical asymptotic variance estimator for two-step semiparametric estimators

Author Info

Listed author(s):
  • Daniel Ackerberg

    (Institute for Fiscal Studies)

  • Xiaohong Chen

    ()

    (Institute for Fiscal Studies and Yale University)

  • Jinyong Hahn

    (Institute for Fiscal Studies)

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://cemmap.ifs.org.uk/wps/cwp2211.pdf
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP22/11.

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Date of creation: 05 Jun 2011
Handle: RePEc:ifs:cemmap:22/11
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Find related papers by JEL classification:
  • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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  9. 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.
  10. Newey, Whitney K., 1984. "A method of moments interpretation of sequential estimators," Economics Letters, Elsevier, vol. 14(2-3), pages 201-206.
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  12. Stephen P. Ryan, 2012. "The Costs of Environmental Regulation in a Concentrated Industry," Econometrica, Econometric Society, vol. 80(3), pages 1019-1061, 05.
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  14. Paul B. Ellickson & Sanjog Misra, 2008. "Supermarket Pricing Strategies," Marketing Science, INFORMS, vol. 27(5), pages 811-828, 09-10.
  15. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn, 2011. "Asymptotic Variance Estimator for Two-Step Semiparametric Estimators," Cowles Foundation Discussion Papers 1803, Cowles Foundation for Research in Economics, Yale University.
  16. Victor Aguirregabiria & Pedro Mira, 2002. "Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models," Econometrica, Econometric Society, vol. 70(4), pages 1519-1543, July.
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