In a bowl, cut butter into flour until mixture resembles coarse crumbs; stir in pecans. Press into an ungreased 13-in. x 9-in. baking pan. Bake at 350° for 15 minutes or until lightly browned. Cool on a wire rack.
In a large bowl, combine cream cheese and confectioners' sugar until smooth. Fold in whipped cream; spread over cooled crust.
In a saucepan, combine 1 cup water, pudding mix, sugar, and egg yolks until smooth. Stir in the remaining water. Cook and stir over medium heat until mixture reaches 160° or is thick enough to coat the back of a metal spoon; cool. Spread over cream cheese layer.
In a large bowl, beat cream until it begins to thicken. Add confectioners' sugar and vanilla; beat until stiff peaks form. Spread over lemon layer. Cover and refrigerate until serving.