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A practical asymptotic variance estimator for two-step semiparametric estimators

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Cited by:

  1. Wu, Ximing & Sickles, Robin, 2018. "Semiparametric estimation under shape constraints," Econometrics and Statistics, Elsevier, vol. 6(C), pages 74-89.
  2. Florin Maican & Matilda Orth, 2017. "Productivity Dynamics and the Role of ‘Big-Box’ Entrants in Retailing," Journal of Industrial Economics, Wiley Blackwell, vol. 65(2), pages 397-438, June.
  3. Le-Yu Chen & Sokbae (Simon) Lee & Myung Jae Sung, 2013. "Maximum score estimation of preference parameters for a binary choice model under uncertainty," CeMMAP working papers 14/13, Institute for Fiscal Studies.
  4. Victor Aguirregabiria & Arvind Magesan, 2013. "Euler Equations for the Estimation of Dynamic Discrete Choice Structural Models," Advances in Econometrics, in: Structural Econometric Models, volume 31, pages 3-44, Emerald Group Publishing Limited.
  5. Victor Aguiar & Roberto Serrano, 2015. "Slutsky Matrix Norms and Revealed Preference Tests of Consumer Behaviour," Working Papers 2015-1, Brown University, Department of Economics.
  6. Victor Aguirregabiria & Arvind Magesan, "undated". "Soultion and Estimation of Dynamic Discrete Choice Structural Models Using Euler Equations," Working Papers 2016-32, Department of Economics, University of Calgary, revised 24 May 2016.
  7. Sokbae Lee & Bernard Salani'e, 2020. "Treatment Effects with Targeting Instruments," Papers 2007.10432, arXiv.org, revised Nov 2023.
  8. Le‐Yu Chen & Sokbae Lee & Myung Jae Sung, 2014. "Maximum score estimation with nonparametrically generated regressors," Econometrics Journal, Royal Economic Society, vol. 17(3), pages 271-300, October.
  9. Daniel Ackerberg & Xiaohong Chen & Jinyong Hahn & Zhipeng Liao, 2014. "Asymptotic Efficiency of Semiparametric Two-step GMM," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(3), pages 919-943.
  10. Aguirregabiria, Victor & Magesan, Arvind, 2013. "Euler Equations for the Estimation of Dynamic Discrete Choice Structural," MPRA Paper 46056, University Library of Munich, Germany.
  11. Aristide Houndetoungan & Abdoul Haki Maoude, 2024. "Inference for Two-Stage Extremum Estimators," Papers 2402.05030, arXiv.org.
  12. Hong, Han & Mahajan, Aprajit & Nekipelov, Denis, 2015. "Extremum estimation and numerical derivatives," Journal of Econometrics, Elsevier, vol. 188(1), pages 250-263.
  13. Ming Li, 2021. "A Time-Varying Endogenous Random Coefficient Model with an Application to Production Functions," Papers 2110.00982, arXiv.org.
  14. Xiaohong Chen & Yin Jia Jeff Qiu, 2016. "Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide," Annual Review of Economics, Annual Reviews, vol. 8(1), pages 259-290, October.
  15. Maican, Florin & Orth, Matilda, 2021. "Determinants of economies of scope in retail," International Journal of Industrial Organization, Elsevier, vol. 75(C).
  16. Ruoyao Shi, 2021. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202105, University of California at Riverside, Department of Economics.
  17. Sung Jae Jun & Sokbae Lee, 2020. "Causal Inference under Outcome-Based Sampling with Monotonicity Assumptions," Papers 2004.08318, arXiv.org, revised Oct 2023.
  18. Victor Chernozhukov & Juan Carlos Escanciano & Hidehiko Ichimura & Whitney K. Newey & James M. Robins, 2022. "Locally Robust Semiparametric Estimation," Econometrica, Econometric Society, vol. 90(4), pages 1501-1535, July.
  19. Frumento, Paolo & Bottai, Matteo, 2017. "An estimating equation for censored and truncated quantile regression," Computational Statistics & Data Analysis, Elsevier, vol. 113(C), pages 53-63.
  20. Joachim Freyberger & Bradley J. Larsen, 2022. "Identification in ascending auctions, with an application to digital rights management," Quantitative Economics, Econometric Society, vol. 13(2), pages 505-543, May.
  21. Salanié, Bernard & Lee, Sokbae, 2020. "Filtered and Unfiltered Treatment Effects with Targeting Instruments," CEPR Discussion Papers 15092, C.E.P.R. Discussion Papers.
  22. Maican, Florin & Orth, Matilda, 2015. "A dynamic analysis of entry regulations and productivity in retail trade," International Journal of Industrial Organization, Elsevier, vol. 40(C), pages 67-80.
  23. Kim Kyoo il & Petrin Amil, 2022. "A Generalized Non-Parametric Instrumental Variable-Control Function Approach to Estimation in Nonlinear Settings," Journal of Econometric Methods, De Gruyter, vol. 11(1), pages 91-125, January.
  24. Engel, Christoph, 2020. "Estimating heterogeneous reactions to experimental treatments," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 124-147.
  25. Maican, Florin & Orth, Matilda, 2021. "Entry Regulations and Product Variety in Retail," CEPR Discussion Papers 15992, C.E.P.R. Discussion Papers.
  26. Chen, Xiaohong & Liao, Zhipeng, 2015. "Sieve semiparametric two-step GMM under weak dependence," Journal of Econometrics, Elsevier, vol. 189(1), pages 163-186.
  27. Huse, Cristian & Lucinda, Claudio & Cardoso, Andre Ribeiro, 2020. "Consumer response to energy label policies: Evidence from the Brazilian energy label program," Energy Policy, Elsevier, vol. 138(C).
  28. Gupta, A, 2015. "Nonparametric specification testing via the trinity of tests," Economics Discussion Papers 15619, University of Essex, Department of Economics.
  29. Hidehiko Ichimura & Whitney K. Newey, 2022. "The influence function of semiparametric estimators," Quantitative Economics, Econometric Society, vol. 13(1), pages 29-61, January.
  30. Grundl, Serafin & Zhu, Yu, 2019. "Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity," Journal of Econometrics, Elsevier, vol. 210(2), pages 363-378.
  31. Armstrong, Timothy B. & Bertanha, Marinho & Hong, Han, 2014. "A fast resample method for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 179(2), pages 128-133.
  32. Sung Jae Jun & Sokbae (Simon) Lee, 2020. "Causal inference in case-control studies," CeMMAP working papers CWP19/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  33. Bang, Minji & Gao, Wayne Yuan & Postlewaite, Andrew & Sieg, Holger, 2023. "Using monotonicity restrictions to identify models with partially latent covariates," Journal of Econometrics, Elsevier, vol. 235(2), pages 892-921.
  34. Przemysław Jeziorski, 2014. "Estimation of cost efficiencies from mergers: application to US radio," RAND Journal of Economics, RAND Corporation, vol. 45(4), pages 816-846, December.
  35. Gupta, Abhimanyu, 2018. "Nonparametric specification testing via the trinity of tests," Journal of Econometrics, Elsevier, vol. 203(1), pages 169-185.
  36. Abadir, Karim M. & Distaso, Walter & Žikeš, Filip, 2014. "Design-free estimation of variance matrices," Journal of Econometrics, Elsevier, vol. 181(2), pages 165-180.
  37. repec:esx:essedp:774 is not listed on IDEAS
  38. Maican, Florin & Orth, Matilda, 2018. "Inventory Behavior, Demand, and Productivity in Retail," CEPR Discussion Papers 13308, C.E.P.R. Discussion Papers.
  39. Maican, Florin G., 2012. "From Boom to Bust and Back Again: A dynamic analysis of IT services," Working Papers in Economics 543, University of Gothenburg, Department of Economics.
  40. Patrick Bajari & Victor Chernozhukov & Han Hong & Denis Nekipelov, 2015. "Identification and Efficient Semiparametric Estimation of a Dynamic Discrete Game," NBER Working Papers 21125, National Bureau of Economic Research, Inc.
  41. Paolo Frumento & Matteo Bottai, 2017. "Parametric modeling of quantile regression coefficient functions with censored and truncated data," Biometrics, The International Biometric Society, vol. 73(4), pages 1179-1188, December.
  42. Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
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