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

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)

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Cites work

• scientific article; zbMATH DE number 88830 (Why is no real title available?)
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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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