Asymptotic Variance of Semiparametric Estimators With Generated Regressors
研究了三步估计法中第一步估计量对第二步非参数回归的影响，推导了其对影响函数的贡献，适用于含生成回归量的半参数模型。
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.