Specification and estimation of semiparametric multiple-index models

DOI10.1017/S0266466608080626MaRDI QIDQ3551010zbMATH OpenFDO

Authors Bas Donkers, Marcia Schafgans

Publication date 8 April 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466608080626

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

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Cites work

• A Class of Statistics with Asymptotically Normal Distribution
• An Adaptive Estimation of Dimension Reduction Space
• Direct estimation of low-dimensional components in additive models.
• Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates
• Efficient estimation in conditional single-index regression
• Efficient Semiparametric Estimation via Moment Restrictions
• Exploring Regression Structure Using Nonparametric Functional Estimation
• Generalized reduced rank tests using the singular value decomposition
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
• Inferring the rank of a matrix
• Investigating Smooth Multiple Regression by the Method of Average Derivatives
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• On rank estimation in symmetric matrices: the case of indefinite matrix estimators
• Optimal bandwidth choice for density-weighted averages
• Semiparametric Estimation of Index Coefficients
• SEMIPARAMETRIC ESTIMATION OF MULTIPLE EQUATION MODELS
• Semiparametric maximum likelihood estimation of polychotomous and sequential choice models
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Testing the Rank and Definiteness of Estimated Matrices With Applications to Factor, State-Space and ARMA Models
• TESTS OF RANK

Cited in

(12)

• Estimating multi-index models with response-conditional least squares
• Identification of semiparametric model coefficients, with an application to collective households
• Computing semiparametric efficiency bounds in discrete choice models with strategic-interactions and rational expectations
• Semiparametric models with single-index nuisance parameters
• Smoothness adaptive average derivative estimation
• scientific article; zbMATH DE number 88830 (Why is no real title available?)
• Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates
• Semiparametric estimation of separable models with possibly limited dependent variables
• Semiparametric Estimation of Index Coefficients
• Multivariate kernel regression in vector and product metric spaces
• Solution-robust estimation of strategic models
• Nonseparable panel models with index structure and correlated random effects

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