Statistical inference for the index parameter in single-index models
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ip, Wai-Cheung & Wong, Heung & Zhang, Riquan, 2007. "Generalized likelihood ratio test for varying-coefficient models with different smoothing variables," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4543-4561, May.
- Hardle, Wolfgang & Tsybakov, A. B., 1993.
"How sensitive are average derivatives?,"
Journal of Econometrics, Elsevier, vol. 58(1-2), pages 31-48, July.
- Hardle, W. & Tsybakov, A., 1991. "How sensitive are average derivates ?," LIDAM Discussion Papers CORE 1991044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hardle, W. & Tsybakov, A.B., 1992. "How Sensitive are Average Derivatives?," Papers 9208, Tilburg - Center for Economic Research.
- Jianqing Fan, 2004. "Generalised likelihood ratio tests for spectral density," Biometrika, Biometrika Trust, vol. 91(1), pages 195-209, March.
- Fan, Jianqing & Jiang, Jiancheng, 2005. "Nonparametric Inferences for Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 890-907, September.
- Hardle, Wolfgang & Tsybakov, A. B., 1993.
"How sensitive are average derivatives?,"
Journal of Econometrics, Elsevier, vol. 58(1-2), pages 31-48, July.
- Hardle, W. & Tsybakov, A., 1991. "How sensitive are average derivates ?," LIDAM Discussion Papers CORE 1991044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Härdle, W.K. & Tsybakov, A.B., 1992. "How sensitive are average derivatives?," Discussion Paper 1992-8, Tilburg University, Center for Economic Research.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chaohui Guo & Hu Yang & Jing Lv, 2018. "Two step estimations for a single-index varying-coefficient model with longitudinal data," Statistical Papers, Springer, vol. 59(3), pages 957-983, September.
- Melanie Birke & Sebastien Van Bellegem & Ingrid Van Keilegom, 2017.
"Semi-parametric Estimation in a Single-index Model with Endogenous Variables,"
Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(1), pages 168-191, March.
- BIRKE, Mélanie & VAN BELLEGEM, Sébastien & VAN KEILEGOM, Ingrid, 2016. "Semi-Parametric Estimation in a Single- Index Model with Endogenous Variables," LIDAM Discussion Papers CORE 2016022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Mélanie BIRKE & Sébastien VAN BELLEGEM & Ingrid VAN KEILEGOM, 2017. "Semi-parametric estimation in a single-index model with endogenous variables," LIDAM Reprints CORE 2898, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Huang, Zhensheng & Pang, Zhen & Zhang, Riquan, 2013. "Adaptive profile-empirical-likelihood inferences for generalized single-index models," Computational Statistics & Data Analysis, Elsevier, vol. 62(C), pages 70-82.
- Claudio Agostinelli & Ana M. Bianco & Graciela Boente, 2020. "Robust estimation in single-index models when the errors have a unimodal density with unknown nuisance parameter," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(3), pages 855-893, June.
- Strzalkowska-Kominiak, Ewa & Cao, Ricardo, 2013. "Maximum likelihood estimation for conditional distribution single-index models under censoring," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 74-98.
- Ewa Strzalkowska-Kominiak & Ricardo Cao, 2014. "Beran-based approach for single-index models under censoring," Computational Statistics, Springer, vol. 29(5), pages 1243-1261, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ichimura, Hidehiko & Todd, Petra E., 2007.
"Implementing Nonparametric and Semiparametric Estimators,"
Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74,
Elsevier.
- Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
- Yingcun Xia & Wolfgang Härdle & Oliver Linton, 2009.
"Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator,"
SFB 649 Discussion Papers
SFB649DP2009-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Härdle & Oliver Linton & Yingcun Xia, 2009. "Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator," STICERD - Econometrics Paper Series 537, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hardle, Wolfgang & Xia, Yingcun & Linton, Oliver, 2009. "Optimal smoothing for a computationally and statistically efficient single index estimator," LSE Research Online Documents on Economics 58173, London School of Economics and Political Science, LSE Library.
- Girard, Stéphane & Guillou, Armelle & Stupfler, Gilles, 2013. "Frontier estimation with kernel regression on high order moments," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 172-189.
- Qihua Wang & Tao Zhang & Wolfgang Karl Härdle, 2016.
"An Extended Single-index Model with Missing Response at Random,"
Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(4), pages 1140-1152, December.
- Wang, Qihua & Zhang, Tao & Härdle, Wolfgang Karl, 2014. "An extended single index model with missing response at random," SFB 649 Discussion Papers 2014-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Kim, Peter T. & Koo, Ja-Yong & Park, Heon Jin, 2004. "Sharp minimaxity and spherical deconvolution for super-smooth error distributions," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 384-392, August.
- Véronique Flambard & Pierre Lasserre & Pierre Mohnen, 2007.
"Snow removal auctions in Montreal: costs, informational rents, and procurement management,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(1), pages 245-277, February.
- Véronique Flambard & Pierre Lasserre & Pierre Mohnen, 2007. "Snow removal auctions in Montreal: costs, informational rents, and procurement management," Canadian Journal of Economics, Canadian Economics Association, vol. 40(1), pages 245-277, February.
- Véronique Flambard & Pierre Lasserre & Pierre Mohnen, 2001. "Snow Removal Auctions in Montreal: Costs, Informational Rents, and Procurement Management," Cahiers de recherche du Département des sciences économiques, UQAM 20-05, Université du Québec à Montréal, Département des sciences économiques.
- Véronique Flambard & Pierre Lasserre & Pierre Mohnen, 2007. "Snow removal auctions in Montreal: costs, informational rents, and procurement management," Post-Print hal-04507099, HAL.
- V. Flambard & P. Lasserre & P. Mohnen, 2007. "Snow Removal Auctions in Montreal : Costs, Informational Rents, and Procurement Management," Post-Print hal-00186418, HAL.
- Flambard, Véronique & Lasserre, Pierre & Mohnen, Pierre, 2004. "Snow Removal Auctions in Montreal: Costs, Informational Rents, and Procurement Management," Research Memorandum 023, Maastricht University, Maastricht Economic Research Institute on Innovation and Technology (MERIT).
- Véronique Flambard & Pierre Lasserre & Pierre Mohnen, 2004. "Snow Removal Auctions in Montreal: Costs, Informational Rents, and Procurement Management," CIRANO Working Papers 2004s-59, CIRANO.
- Huybrechts F. Bindele & Ash Abebe & Karlene N. Meyer, 2018. "General rank-based estimation for regression single index models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(5), pages 1115-1146, October.
- Yiping Yang & Tiejun Tong & Gaorong Li, 2019. "SIMEX estimation for single-index model with covariate measurement error," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(1), pages 137-161, March.
- Ip, Wai-Cheung & Wong, Heung & Zhang, Riquan, 2007. "Generalized likelihood ratio test for varying-coefficient models with different smoothing variables," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4543-4561, May.
- Almekinders, Geert J & Eijffinger, Sylvester C W, 1994.
"Daily Bundesbank and Federal Reserve Interventions: Are They a Reaction to Changes in the Level and Volatility of the DM/$-Rate?,"
Empirical Economics, Springer, vol. 19(1), pages 111-130.
- Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Daily Bundesbank and federal reserve interventions : Are they a reaction to changes in the level and volatility of the DM/$-rate?," Other publications TiSEM 3e0ae3fa-af29-4757-aecb-a, Tilburg University, School of Economics and Management.
- Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Daily Bundesbank and federal reserve interventions : Are they a reaction to changes in the level and volatility of the DM/$-rate?," Other publications TiSEM e583abfb-39f0-4c9d-8848-5, Tilburg University, School of Economics and Management.
- Girard, Séphane & Jacob, Pierre, 2009. "Frontier estimation with local polynomials and high power-transformed data," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1691-1705, September.
- Kyungchul Song, 2009. "Bootstrapping Semiparametric Models with Single-Index Nuisance Parameters, Second Version," PIER Working Paper Archive 10-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 02 Aug 2010.
- Marian Hristache, 2002. "Are Efficient Estimators in Single-Index Models Really Efficient? A Computational Discussion," Computational Statistics, Springer, vol. 17(4), pages 453-464, December.
- Feng, Sanying & Kong, Kaidi & Kong, Yinfei & Li, Gaorong & Wang, Zhaoliang, 2022. "Statistical inference of heterogeneous treatment effect based on single-index model," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
- Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010.
"Robust Data-Driven Inference for Density-Weighted Average Derivatives,"
Journal of the American Statistical Association, American Statistical Association, vol. 105(491), pages 1070-1083.
- Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2009. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," CREATES Research Papers 2009-46, Department of Economics and Business Economics, Aarhus University.
- Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
- Gorgens, T., 1999.
"Semiparametric Estimation of Single-Index Transition Intensities,"
Papers
99-25, Carleton - School of Public Administration.
- Tue Gørgens, 1999. "Semiparametric Estimation of Single-Index Transition Intensities," Discussion Papers 99-25, University of Copenhagen. Department of Economics.
- Tue Gorgens, 2000. "Semiparametric Estimation of Single-Index Transition Intensities," Econometric Society World Congress 2000 Contributed Papers 0596, Econometric Society.
- Hidehiko Ichimura & Oliver Linton, 2001.
"Asymptotic expansions for some semiparametric program evaluation estimators,"
CeMMAP working papers
04/01, Institute for Fiscal Studies.
- Hidehiko Ichimura & Oliver Linton, 2001. "Asymptotic expansions for some semiparametric program evaluation estimators," CeMMAP working papers CWP04/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ichimura, Hidehiko & Linton, Oliver, 2003. "Asymptotic expansions for some semiparametric program evaluation estimators," LSE Research Online Documents on Economics 2098, London School of Economics and Political Science, LSE Library.
- Hidehiko Ichimura & Oliver Linton, 2003. "Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators," STICERD - Econometrics Paper Series 451, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Erik Bergkvist & Per Johansson, 2000. "Weighted Derivative Estimation of Quantal Response Models: Simulations and Applications to Choice of Truck Freight Carrier," Computational Statistics, Springer, vol. 15(4), pages 485-510, December.
- Biau, Gérard & Cadre, Benoît & Pelletier, Bruno, 2008. "Exact rates in density support estimation," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2185-2207, November.
More about this item
Keywords
Generalized likelihood ratio test Local linear method Single-index models Wilks phenomenon [chi]2-distribution;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:101:y:2010:i:4:p:1026-1041. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.