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Unlike a Newton\u2013Raphson approach, which makes use of the entire Hessian, this approach only uses curvature information associated with portions of the Hessian that are relatively easy to calculate. Consistency and asymptotic normality of estimators obtained from this algorithm are established under regularity conditions and an information dominance condition. Two specific examples, a quantile regression model with missing covariates and a GARCH-in-mean model with conditional mean of unknown functional form, demonstrate the applicability of the algorithm. This new approach can be interpreted as an extension of the maximization by parts estimation approach to semiparametric models.<\/jats:p>","DOI":"10.1017\/s0266466618000063","type":"journal-article","created":{"date-parts":[[2018,4,12]],"date-time":"2018-04-12T09:50:27Z","timestamp":1523526627000},"page":"111-141","update-policy":"http:\/\/dx.doi.org\/10.1017\/policypage","source":"Crossref","is-referenced-by-count":4,"title":["A SIMPLE ITERATIVE Z-ESTIMATOR FOR SEMIPARAMETRIC MODELS"],"prefix":"10.1017","volume":"35","author":[{"given":"David T.","family":"Frazier","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2018,4,12]]},"reference":[{"key":"S0266466618000063_ref40","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2010.09.027"},{"key":"S0266466618000063_ref36","first-page":"929","article-title":"Maximum likelihood inference in robust linear mixed-effects models using multivariate t distributions","volume":"17","author":"Song","year":"2007","journal-title":"Statistica Sinica"},{"key":"S0266466618000063_ref35","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000204"},{"key":"S0266466618000063_ref33","unstructured":"Roth C. & Firpo S. 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