Working Paper

A practical asymptotic variance estimator for two-step semiparametric estimators


Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn

Published Date

5 June 2011


Working Paper (CWP22/11)

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 already-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.

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