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Chaohua Dong:Estimation for Single-Index and Partially Linear Single-Index NTEG
2015-12-10 18:33:02   来源:   评论:0 点击:

Estimation for Single-Index and Partially Linear  Single-Index  NTEGRATED Models
 Chaohua Dong, Jiti Gao and Dag Tjostheim

 
Abstract:
 
Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link functions in the models and a pro_le approach is used to derive the estimators. The findings include dual convergence rates of the estimators for the single-index models and a trio of convergence rates for the partially linear single index models. Central limit theorem is established for the plug-in estimator of unknown link functions. Monte Carlo simulation verifies these theoretical results. An empirical study furnishes an application of the proposed estimation procedures in practice.

Annals of Statistics, 44,425-453,2016.

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