Journal Article

The asymptotic variance of semi-parametric estimators with generated regressors


Jinyong Hahn, Geert Ridder

Published Date

31 January 2013


Journal Article

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.