Ichimura, Hidehiko; Lee, Sokbae - In: Journal of Econometrics 159 (2010) 2, pp. 252-266
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...