Asymptotic Variance of Semiparametric Estimators With Generated Regressors

• Autores: Jinyong Hahn, Geert Ridder
• Localización: Econométrica: Journal of the Econometric Society, ISSN 0012-9682, Vol. 81, Nº 1, 2013, págs. 315-340
• Idioma: inglés
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• Resumen

  • We study the asymptotic distribution of three-step estimators of a finite-dimensional parameter vector where the second step consists of one or more nonparametric regressions on a regressor that is estimated in the first step. The first-step estimator is either parametric or nonparametric. Using Newey's (1994) path-derivative method, we derive the contribution of the first-step estimator to the influence function. In this derivation, it is important to account for the dual role that the first-step estimator plays in the second-step nonparametric regression, that is, that of conditioning variable and that of argument.