Estimation for single-index and partially linear single-index integrated models
From MaRDI portal
Publication:5963528
Abstract: Estimation mainly for two classes of popular models, single-index 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 profile approach is used to derive the estimators. The findings include the dual rate of convergence of the estimators for the single-index models and a trio of convergence rates for the partially linear single-index models. A new central limit theorem is established for a plug-in estimator of the unknown link function. Meanwhile, a considerable extension to a class of partially nonlinear single-index models is discussed in Section 4. Monte Carlo simulation verifies these theoretical results. An empirical study furnishes an application of the proposed estimation procedures in practice.
Recommendations
Cites work
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- A STUDY OF A SEMIPARAMETRIC BINARY CHOICE MODEL WITH INTEGRATED COVARIATES
- A specification test for nonlinear nonstationary models
- ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- An Adaptive Estimation of Dimension Reduction Space
- Convergence of stochastic processes
- Empirical Likelihood Confidence Regions in a Partially Linear Single-Index Model
- Estimating smooth structural change in cointegration models
- Estimation and testing for partially linear single-index models
- Estimation for a partial-linear single-index model
- Estimation for single-index and partially linear single-index integrated models
- Generalized Partially Linear Single-Index Models
- Identifiability of single-index models and additive-index models
- Index models with integrated time series
- Local limit theory and spurious nonparametric regression
- Model specification tests in nonparametric stochastic regression models
- Modelling Nonlinear Economic Time Series
- Nonlinear Regressions with Integrated Time Series
- Nonparametric estimation in a nonlinear cointegration type model
- Nonparametric estimation in null recurrent time series.
- Nonparametric specification testing for nonlinear time series with nonstationarity
- Nonstationary Binary Choice
- On Single-Index Coefficient Regression Models
- On extended partially linear single-index models
- Optimal smoothing in single-index models
- Penalized Spline Estimation for Partially Linear Single-Index Models
- Profile likelihood and conditionally parametric models
- Semiparametric estimation in triangular system equations with nonstationarity
- Single-index quantile regression
- Specification testing in nonlinear and nonstationary time series autoregression
- Structural nonparametric cointegrating regression
Cited in
(37)- Estimation for single-index and partially linear single-index integrated models
- Testing of Constant Parameters for Semi‐Parametric Functional Coefficient Models with Integrated Covariates
- A partially linear single-index transformation model and its nonparametric estimation
- Simultaneous confidence bands and global inferences for extended partially linear single-index models
- Semi-parametric single-index panel data models with interactive fixed effects: theory and practice
- High dimensional semiparametric moment restriction models
- On transformed linear cointegration models
- Adaptive estimation for varying coefficient models with nonstationary covariates
- Robust nonlinear regression estimation in null recurrent time series
- A novel partial-linear single-index model for time series data
- Specification testing driven by orthogonal series for nonlinear cointegration with endogeneity
- Weighted nonlinear regression with nonstationary time series
- A weighted sieve estimator for nonparametric time series models with nonstationary variables
- Inference on a semiparametric model with global power law and local nonparametric trends
- Estimation for biased partial linear single index models
- The parametric estimations and asymptotics for a single-index model with autoregressive processes
- Semi-parametric inference for large-scale data with temporally dependent noise
- Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
- Least squares estimation for nonlinear regression models with heteroscedasticity
- Inferences for extended partially linear single-index models
- Semi-parametric single-index predictive regression models with cointegrated regressors
- Additive nonparametric models with time variable and both stationary and nonstationary regressors
- Linearity identification for general partial linear single-index models
- Specification testing for nonlinear multivariate cointegrating regressions
- Estimation in a semiparametric panel data model with nonstationarity
- Nonparametric inference for quantile cointegrations with stationary covariates
- Estimation for double-nonlinear cointegration
- Sieve extremum estimation of a semiparametric transformation model
- Wilks' theorem for semiparametric regressions with weakly dependent data
- Series estimation for single-index models under constraints
- Estimation for Partially Linear Single-index Instrumental Variables Models
- Functional quantile autoregression
- Functional coefficient cointegration models with Box-Cox transformation
- Partial Least Squares Estimator for Single-Index Models
- Polynomial spline estimation of panel count data model with an unknown link function
- Varying coefficient partially nonlinear models with nonstationary regressors
- Estimation for a partial-linear single-index model
This page was built for publication: Estimation for single-index and partially linear single-index integrated models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5963528)
