A PRACTICAL ASYMPTOTIC VARIANCE ESTIMATOR FOR TWO-STEP SEMIPARAMETRIC ESTIMATORS

被引：46

作者：

Ackerberg, Daniel ^{[1
]}

Chen, Xiaohong ^{[2
]}

Hahn, Jinyong ^{[3
]}

机构：

[1] Univ Michigan, Ann Arbor, MI 48109 USA

[2] Yale Univ, New Haven, CT 06520 USA

[3] Univ Calif Los Angeles, Los Angeles, CA 90024 USA

来源：

REVIEW OF ECONOMICS AND STATISTICS | 2012年 / 94卷 / 02期

基金：

美国国家科学基金会;

关键词：

DYNAMIC-MODELS; EFFICIENT ESTIMATION; ECONOMETRIC-MODELS; PROPENSITY SCORE; GAMES; CHOICE;

D O I：

10.1162/REST_a_00251

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 serniparametric variances using standard formulas derived in the 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.

引用

页码：481 / 498

页数：18

共 42 条

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