Another Look at Single-Index Models Based on Series Estimation

Dong, C; Gao, J; Peng, B

Another Look at Single-Index Models Based on Series Estimation

Dong, C Gao, J Peng, B

Permalink

Publication Type:: Journal Article
Citation:: Monash Econometrics and Business Statistics Working Papers, 2016, 19 (16), pp. 1 - 39
Issue Date:: 2016-11

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Adobe PDF

Download Published VersionAdobe PDF (643.49 kB)

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Dong, C	en_US
dc.contributor.author	Gao, J	en_US
dc.contributor.author	Peng, B https://orcid.org/0000-0003-4231-4713	en_US
dc.date.issued	2016-11	en_US
dc.identifier.citation	Monash Econometrics and Business Statistics Working Papers, 2016, 19 (16), pp. 1 - 39	en_US
dc.identifier.issn	1440-771X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/116710
dc.description.abstract	In this paper, a semiparametric single-index model is investigated. The link function is allowed to be unbounded and has unbounded support that answers a pending issue in the literature. Meanwhile, the link function is treated as a point in an infinitely many dimensional function space which enables us to derive the estimates for the index parameter and the link function simultaneously. This approach is different from the profile method commonly used in the literature. The estimator is derived from an optimization with the constraint of identification condition for index parameter, which is a natural way but ignored in the literature.	en_US
dc.relation.ispartof	Monash Econometrics and Business Statistics Working Papers	en_US
dc.title	Another Look at Single-Index Models Based on Series Estimation	en_US
dc.type	Journal Article
utslib.citation.volume	16	en_US
utslib.citation.volume	19	en_US
utslib.for	140304 Panel Data Analysis	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
utslib.copyright.status	open_access
pubs.consider-herdc	false	en_US
pubs.issue	16	en_US
pubs.publication-status	Published	en_US
pubs.volume	19	en_US

Abstract:

In this paper, a semiparametric single-index model is investigated. The link function is allowed to be unbounded and has unbounded support that answers a pending issue in the literature. Meanwhile, the link function is treated as a point in an infinitely many dimensional function space which enables us to derive the estimates for the index parameter and the link function simultaneously. This approach is different from the profile method commonly used in the literature. The estimator is derived from an optimization with the constraint of identification condition for index parameter, which is a natural way but ignored in the literature.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/116710