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Locally robust semiparametric estimation

Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2016

This paper shows how to construct locally robust semiparametric GMM estimators, meaning equivalently moment conditions have zero derivative with respect to the first step and the first step does not affect the asymptotic variance. They are constructed by adding to the moment functions the...

Persistent link: https://www.econbiz.de/10011594341

The influence function of semiparametric estimators

Ichimura, Hidehiko; Newey, Whitney K. - 2017

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as the...

Persistent link: https://www.econbiz.de/10011941427

Locally robust semiparametric estimation

Chernozhukov, Victor; Escanciano, Juan Carlos; … - 2018

We give a general construction of debiased/locally robust/orthogonal (LR) moment functions for GMM, where the derivative with respect to first step nonparametric estimation is zero and equivalently first step estimation has no effect on the influence function. This construction consists of...

Persistent link: https://www.econbiz.de/10011941476

Optimal bandwidth selection for the fuzzy regression discontinuity estimator

Arai, Yoichi; Ichimura, Hidehiko - 2015

A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. The method chooses two bandwidths simultaneously, one for each side of the cut-off point by using a criterion based on the estimated asymptotic mean square error taking into account a second-order bias...

Persistent link: https://www.econbiz.de/10011445759

The influence function of semiparametric estimators

Ichimura, Hidehiko; Newey, Whitney K. - 2021

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as...

Persistent link: https://www.econbiz.de/10012667931

Asymptotic expansions for some semiparametric program evaluation estimators

Ichimura, Hidehiko; Linton, Oliver - 2001

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...

Persistent link: https://www.econbiz.de/10011941229

The influence function of semiparametric estimators

Ichimura, Hidehiko; Newey, Whitney K. - 2015

Often semiparametric estimators are asymptotically equivalent to a sample average. The object being averaged is referred to as the influence function. The influence function is useful in formulating primitive regularity conditions for asymptotic normality, in efficiency comparions, for bias...

Persistent link: https://www.econbiz.de/10011445756

Estimating derivatives in nonseparable models with limited dependent variables

Altonji, Joseph; Ichimura, Hidehiko; Otsu, Taisuke - 2008

We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea...

Persistent link: https://www.econbiz.de/10010288449

The matching method for treatment evaluation with selective participation and ineligibles

Dias, MonicaCosta; Ichimura, Hidehiko; van den Berg, … - 2007

The matching method for treatment evaluation does not balance selective unobserved differences between treated and non …, provide a natural application. In an empirical analysis, we first examine the performance of matching versus regression …, where compliance is imperfect among the young. Adjusting the matching estimator for selectivity changes the results towards …

Persistent link: https://www.econbiz.de/10010318475