Ackerberg, Daniel A.
[Verfasser:in]
;
Chen, Xiaohong
[Sonstige Person, Familie und Körperschaft];
Hahn, Jinyong
[Sonstige Person, Familie und Körperschaft]
A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
Erschienen in:Cowles Foundation Discussion Paper ; No. 1803
Umfang:
1 Online-Ressource (51 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1850613
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 23, 2011 erstellt
Beschreibung:
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