A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators
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.
Ackerberg, Daniel; Chen, Xiaohong; and Hahn, Jinyong, "A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators" (2011). Cowles Foundation Discussion Papers. 2147.