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Abstract:

Econometrics Paper
Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators
Hidehiko Ichimura and Oliver Linton
May 2003
Paper No' EM/2003/451:
Full Paper (pdf)

Tags: bandwidth selection; kernel estimation; program evaluation; semiparametric estimation; treatment effect.

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.