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Semiparametric Estimationwith GeneratedCovariates
- Publication Year :
- 2014
- Publisher :
- Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2014.
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Abstract
- We study a general class of semiparametric estimators when the infinite-dimensional nuisance parameters include a conditional expectation function that has been estimated nonparametri- cally using generated covariates. Such estimators are used frequently to e.g. estimate nonlinear models with endogenous covariates when identification is achieved using control variable tech- niques. We study the asymptotic properties of estimators in this class, which is a non-standard problem due to the presence of generated covariates. We give conditions under which estimators are root-n consistent and asymptotically normal, derive a general formula for the asymptotic variance, and show how to establish validity of the bootstrap.
Details
- Language :
- English
- Database :
- OpenAIRE
- Accession number :
- edsair.od.......133..1f5d5ba9d220b6c02c8fe6ab1e00e883