The influence function of semiparametric estimators

Arbeitspapier

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as the influence function. The influence function is useful in local policy analysis, in evaluating local sensitivity of estimators, and constructing debiased machine learning estimators. We show that the influence function is a Gateaux derivative with respect to a smooth deviation evaluated at a point mass. This result generalizes the classic Von Mises (1947) and Hampel (1974) calculation to estimators that depend on smooth nonparametric first steps. We give explicit influence functions for first steps that satisfy exogenous or endogenous orthogonality conditions. We use these results to generalize the omitted variable bias formula for regression to policy analysis for and sensitivity to structural changes. We apply this analysis and find no sensitivity to endogeneity of average equivalent variation estimates in a gasoline demand application.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: cemmap working paper ; No. CWP31/21

Classification and Topics

• Classification: Wirtschaft ; Estimation: General ; Semiparametric and Nonparametric Methods: General ; Single Equation Models; Single Variables: General ; Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation ; Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
• Subject: Influence function ; semiparametric estimation ; NPIV

Contributors, Location and Time

• Event: Geistige Schöpfung
• (who): Ichimura, Hidehiko ; Newey, Whitney K.
• Event: Veröffentlichung
• (who): Centre for Microdata Methods and Practice (cemmap)
• (where): London
• (when): 2021

Further information

• DOI: doi:10.47004/wp.cem.2021.3121
• Handle: http://hdl.handle.net/10419/246799
• Last update: 20.09.2024, 8:21 AM CEST