Asymptotic distributions for two estimators of the single-index model

Please use this identifier to cite or link to this item: https://doi.org/10.1017/S0266466606060531

Title:	Asymptotic distributions for two estimators of the single-index model
Authors:	Xia, Y.
Issue Date:	Dec-2006
Citation:	Xia, Y. (2006-12). Asymptotic distributions for two estimators of the single-index model. Econometric Theory 22 (6) : 1112-1137. ScholarBank@NUS Repository. https://doi.org/10.1017/S0266466606060531
Abstract:	The single-index model is one of the most popular semiparametric models in applied quantitative sciences. Two new estimation methods have been proposed recently by Hristache, Juditski, and Spokoiny (2001, Annals of Statistics 29, 595-623) and Xia, Tong, Li, and Zhu (2002, Journal of the Royal Statistical Society, Series B 64, 363-410), respectively. However, their asymptotic distributions have not been investigated yet. In this paper, alternative versions for the methods are investigated. Asymptotic distributions of the estimators are derived. Efficiency comparisons between the estimation methods are made. © 2006 Cambridge University Press.
Source Title:	Econometric Theory
URI:	http://scholarbank.nus.edu.sg/handle/10635/105021
ISSN:	02664666
DOI:	10.1017/S0266466606060531
Appears in Collections:	Staff Publications

There are no files associated with this item.

Check