A Z‐theorem with Estimated Nuisance Parameters and Correction Note for ‘Weighted Likelihood for Semiparametric Models and Two‐phase Stratified Samples, with Application to Cox Regression’

Abstract. We state and prove a limit theorem for estimators of a general, possibly infinite dimensional parameter based on unbiased estimating equations containing estimated nuisance parameters. The theorem corrects a gap in the proof of one of the assertions of our paper ‘Weighted likelihood for semiparametric models and two‐phase stratified samples, with application to Cox regression’ [ Scand. J. Statist . 34 (2007) 86–102].