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Asymptotic expansions for some semiparametric program evaluation estimators

Authors: Hidehiko Ichimura and Oliver Linton
Date: 02 October 2005
Type: Journal Article,

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.

Previous version:
Hidehiko Ichimura and Oliver Linton September 2001, Asymptotic expansions for some semiparametric program evaluation estimators, cemmap Working Paper, CWP04/01

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