Ichimura, H.;
Linton, O.;
(2001)
Asymptotic expansions for some semiparametric program evaluation estimators.
(cemmap Working Papers
CWP04/).
Institute for Fiscal Studies: 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.
| Type: | Working / discussion paper |
|---|---|
| Title: | Asymptotic expansions for some semiparametric program evaluation estimators |
| Open access status: | An open access version is available from UCL Discovery |
| Publisher version: | http://www.cemmap.ac.uk/publications.php |
| Language: | English |
| Keywords: | JEL classification: C14. Bandwidth selection, Kernei estimation, program evaluation, semiparametric estimation, treatment effect |
| UCL classification: | UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/14715 |
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