A semiparametric single index model with heterogeneous impacts on an unobserved variable

DOI10.1016/J.JECONOM.2014.08.001zbMATH Open1331.62479OpenAlexW2008472950MaRDI QIDQ473340FDOQ473340

Authors: Jiyon Lee 

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.08.001

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zbMATH Keywords

capital asset pricingsingle indexsemiparametric least squares

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

Cites Work

• Efficient semiparametric estimation of the Fama-French model and extensions
• Generalized Partially Linear Single-Index Models
• Some Limit Theorems for Stationary Processes
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• Title not available (Why is that?)
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• Specification test for binary choice models based on index quantiles
• Bias corrections in testing and estimating semiparametric, single index models
• Smooth quantile estimators under strong mixing: necessary and sufficient conditions on bandwidth for weak convergence
• Approximation theorems for strongly mixing random variables

Cited In (2)

• Estimation of partially linear single-index spatial autoregressive model
• Semi‐parametric Estimation in a Single‐index Model with Endogenous Variables

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