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Asymptotic expansions for some semiparametric program evaluation estimators

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 School of Economics and Political Science, 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
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Collections > LSE Financial Markets Group (FMG) Working Papers
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: EM/03/451
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/2098/

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