Models in which a complicated function of data is estimated in the first step, and plugged again into another estimation model of primary interest in the second step

Models in which a complicated function of data is estimated in the first step, and plugged again into another estimation model of primary interest in the second step. Examples include:

  1. Heckman labor supply model estimated in two steps
  2. Murphy-Topel variance estimator for models with regressors generated in the first step