Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/4237
Type: Artigo Científico
Title: Properties of doubly robust estimators when nuisance functions are estimated nonparametrically
Author: Firpo, Sergio Pinheiro
Rothe, Christoph
Publication Date: 2018
Abstract: An estimator of a finite-dimensional parameter is said to be doubly robust (DR) if it imposes parametric specifications on two unknown nuisance functions, but only requires that one of these two specifications is correct in order for the estimator to be consistent for the object of interest. In this article, we study versions of such estimators that use local polynomial smoothing for estimating the nuisance functions. We show that such semiparametric two-step (STS) versions of DR estimators have favorable theoretical and practical properties relative to other commonly used STS estimators. We also show that these gains are not generated by the DR property alone. Instead, it needs to be combined with an orthogonality condition on the estimation residuals from the nonparametric first stage, which we show to be satisfied in a wide range of models.
Language: Inglês
CNPq Area: Ciências Exatas e da Terra
URI: https://www.cambridge.org/core/journals/econometric-theory/article/abs/properties-of-doubly-robust-estimators-when-nuisance-functions-are-estimated-nonparametrically/A9BA1449CD982BC35C245BFEE680759F#article
Copyright: O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR
Notes: Evidencia
Appears in Collections:Coleção de Artigos Científicos

Files in This Item:
File Description SizeFormat 
Artigo_2019_properties of doubly robust estimators_EV.JPGArtigo_2019_properties of doubly robust estimators_EV132.45 kBJPEGView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.