In this paper, we study a general class of semiparametric optimization estimators of a vector-valued parameter. The criterion function depends on two types of innite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated...

Linearity in a causal relationship between a dependent variable and a set of regressors is a common assumption throughout economics. In this paper we consider the case when the coefficients in this relationship are random and distributed independently from the regressors. Our aim is to identify...

For kernel estimators of an unknown density it has been proposed to use a data-based bandwidth which is as close to the (nonrandom, unknown) minimiser of the Mean Integrated Squared Error as possible. In this note it will be shown that this strategy of bandwidth selection is not optimal.