Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64684
Authors: 
Hahn, Jinyong
Ridder, Geert
Year of Publication: 
2010
Series/Report no.: 
cemmap working paper CWP23/10
Abstract: 
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 non-parametric. 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 non-parametric regression, i.e., that of conditioning variable and that of argument. We consider three examples in more detail: the partial linear regression model estimator with a generated regressor, the Heckman, Ichimura and Todd (1998) estimator of the Average Treatment Effect and a semi-parametric control variable estimator.
Subjects: 
semi-parametric estimation
generated regressors
asymptotic variance
JEL: 
C01
C14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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