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Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2014-043
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
We study a general class of semiparametric estimators when the in nite-dimensional nuisance parameters include a conditional expectation function that has been estimated nonparametrically using generated covariates. Such estimators are used frequently to e.g. estimate nonlinear models with endogenous covariates when identi cation is achieved using control variable techniques. 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.
Schlagwörter: 
Semiparametric estimation
generated covariates
pro ling
propensity score
JEL: 
C14
C31
Dokumentart: 
Working Paper

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