COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 1803 A Practical Asymptotic Variance Estimator Daniel Ackerberg, Xiaohong Chen, and Jinyong Hahn May 2011 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. |
