Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103778
Authors: 
Mammen, Enno
Rothe, Christoph
Schienle, Melanie
Year of Publication: 
2014
Series/Report no.: 
SFB 649 Discussion Paper 2014-043
Abstract: 
We study a general class of semiparametric estimators when the in nite-dimensional nuisance parameters include a conditional expectation function that has been estimated nonparametrically using generated covariates. Such estimators are used frequently to e.g. estimate nonlinear models with endogenous covariates when identi cation is achieved using control variable techniques. We study the asymptotic properties of estimators in this class, which is a non-standard problem due to the presence of generated covariates. We give conditions under which estimators are root-n consistent and asymptotically normal, derive a general formula for the asymptotic variance, and show how to establish validity of the bootstrap.
Subjects: 
Semiparametric estimation
generated covariates
pro ling
propensity score
JEL: 
C14
C31
Document Type: 
Working Paper

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