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Title:Semiparametric estimation with generated covariates PDF Logo
Authors:Mammen, Enno
Rothe, Christoph
Schienle, Melanie
Issue Date:2011
Series/Report no.:Discussion Paper series, Forschungsinstitut zur Zukunft der Arbeit 6084
Abstract:In this paper, we study a general class of semiparametric optimization estimators of a vector-valued parameter. The criterion function depends on two types of infinite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated covariates, and another estimated function that is used to compute the generated covariates in the first place. We study the asymptotic properties of estimators in this class, which is a nonstandard problem due to the presence of generated covariates. We give conditions under which estimators are root-n consistent and asymptotically normal, and derive a general formula for the asymptotic variance.
Subjects:semiparametric estimation
generated covariates
propensity score
Persistent Identifier of the first edition:urn:nbn:de:101:1-201111213059
Document Type:Working Paper
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

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