Semiparametric Models with Single-Index Nuisance Parameters

@inproceedings{Song2012SemiparametricMW,
  title={Semiparametric Models with Single-Index Nuisance Parameters},
  author={Kyungchul Song},
  year={2012}
}
In many semiparametric models, the parameter of interest is identi…ed through conditional expectations, where the conditioning variable involves a single-index that is estimated in the …rst step. Among the examples are sample selection models and propensity score matching estimators. When the …rst-step estimator follows cube-root asymptotics, no method of analyzing the asymptotic variance of the second step estimator exists in the literature. This paper provides nontrivial su¢ cient conditions… CONTINUE READING

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