Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators

28 Pages Posted: 21 Jul 2008

See all articles by Hidehiko Ichimura

Hidehiko Ichimura

Graduate School of Economics, University of Tokyo

Oliver B. Linton

University of Cambridge

Date Written: May 2003

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.

JEL Classification: C16, C53, G12

Suggested Citation

Ichimura, Hidehiko and Linton, Oliver B., Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators (May 2003). LSE STICERD Research Paper No. EM451. Available at SSRN: https://ssrn.com/abstract=1162616

Hidehiko Ichimura (Contact Author)

Graduate School of Economics, University of Tokyo ( email )

7-3-1 Hongo Bunkyo-ku
Tokyo 113-0033
Japan

Oliver B. Linton

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

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