A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators

A-Tier
Journal: Review of Economics and Statistics
Year: 2012
Volume: 94
Issue: 2
Pages: 481-498

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The goal of this paper is to develop techniques to simplify semiparametric inference. We do this by deriving a number of numerical equivalence results. These illustrate that in many cases, one can obtain estimates of semiparametric variances using standard formulas derived in the well-known parametric literature. This means that for computational purposes, an empirical researcher can ignore the semiparametric nature of the problem and do all calculations as if it were a parametric situation. We hope that this simplicity will promote the use of semiparametric procedures. © 2012 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Technical Details

RePEc Handle
repec:tpr:restat:v:94:y:2012:i:2:p:481-498
Journal Field
General
Author Count
3
Added to Database
2026-01-24