CFDP 1803

A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators

Author(s): 

Publication Date: May 2011

Pages: 50

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 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.

Keywords: 

Two-step semiparametrics

JEL Classification Codes:  C14

See CFP: 1357