AN AVERAGING ESTIMATOR FOR TWO-STEP M-ESTIMATION IN SEMIPARAMETRIC MODELS
提出一种结合非参数第一步和参数第一步的平均估计量，权重由渐近二次风险最小化得到，在设定正确和不同程度误设下均优于纯半参数估计，并给出简便的推断方法。
In a two-step extremum estimation (M-estimation) framework with a finite-dimensional parameter of interest and a potentially infinite-dimensional first-step nuisance parameter, this paper proposes an averaging estimator that combines a semiparametric estimator based on a nonparametric first step and a parametric estimator which imposes parametric restrictions on the first step. The averaging weight is an easy-to-compute sample analog of an infeasible optimal weight that minimizes the asymptotic quadratic risk. Under Stein-type conditions, the asymptotic lower bound of the truncated quadratic risk difference between the averaging estimator and the semiparametric estimator is strictly less than zero for a class of data generating processes that includes both correct specification and varied degrees of misspecification of the parametric restrictions, and the asymptotic upper bound is weakly less than zero. The averaging estimator, along with an easy-to-implement inference method, is demonstrated in an example.