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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.
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
ISSN: 02664666
DOI: 10.1017/S0266466606060531
Appears in Collections:Staff Publications

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