Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79377
Authors: 
Ichimura, Hidehiko
Lee, Sokbae
Year of Publication: 
2006
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP15/06
Abstract: 
This paper develops a concrete formula for the asymptotic distribution of two-step, possibly non-smooth semiparametric M-estimators under general misspecification. Our regularity conditions are relatively straightforward to verify and also weaker than those available in the literature. The first-stage nonparametric estimation may depend on finite dimensional parameters. We characterize: (1) conditions under which the first-stage estimation of nonparametric components do not affect the asymptotic distribution, (2) conditions under which the asymptotic distribution is affected by the derivatives of the first-stage nonparametric estimator with respect to the finite-dimensional parameters, and (3) conditions under which one can allow non-smooth objective functions. Our framework is illustrated by applying it to three examples: (1) profiled estimation of a single index quantile regression model, (2) semiparametric least squares estimation under model misspecification, and (3) a smoothed matching estimator.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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