Montes-Rojas, Gabriel - In: Economics Bulletin 29 (2009) 4, pp. 2937-2943
We derive the variance of the Hirano, Imbens and Ridder (Econometrica 66, 315--31, 2003) average treatment effects estimator when the true propensity score is known. This variance is used in the derivation of the variance of a similar two-step estimator, where a M-estimator is used in the first...