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 secondorder 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.
Original language | English (US) |
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Title of host publication | Identification and Inference for Econometric Models |
Subtitle of host publication | Essays in Honor of Thomas Rothenberg |
Publisher | Cambridge University Press |
Pages | 149-170 |
Number of pages | 22 |
ISBN (Electronic) | 9780511614491 |
ISBN (Print) | 9780521844413 |
DOIs | |
State | Published - Jan 1 2005 |
Externally published | Yes |
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)