Ichimura, Hidehiko and Linton, Oliver (2003) Asymptotic expansions for some semiparametric program evaluation estimators. Econometrics; EM/2003/451 (EM/03/451). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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Abstract
We investigate the performance of a class of semiparametric estimators of the treatment effect via asymptotic expansions. We derive approximations to the first two moments of the estimator that are valid to 'second order'. We use these approximations to define a method of bandwidth selection. We also propose a degrees- of-freedom like bias correction that improves the second order properties of the estimator but without requiring estimation of higher order derivatives of the unknown propensity score. We provide some numerical calibrations of the results.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2003 the authors |
| Divisions: | Financial Markets Group Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 13 Sep 2024 19:49 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2098 |
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