Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator
dc.contributor.author | Xia, Yingcun | |
dc.contributor.author | Härdle, Wolfgang Karl | |
dc.contributor.author | Linton, Oliver | |
dc.date.accessioned | 2017-06-15T23:55:57Z | |
dc.date.available | 2017-06-15T23:55:57Z | |
dc.date.created | 2009-05-20 | |
dc.date.issued | 2009-05-13 | |
dc.identifier.issn | 1860-5664 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/4845 | |
dc.description.abstract | In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical difficulties. Based on local linear kernel smoother, we propose an estimation method to estimate the single-index model without under-smoothing. Under some conditions, our estimator of the single-index is asymptotically normal and most efficient in the semi-parametric sense. Moreover, we derive higher expansions for our estimator and use them to define an optimal bandwidth for the purposes of index estimation. As a result we obtain a practically more relevant method and we show its superior performance in a variety of applications. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject | ADE | eng |
dc.subject | Asymptotics | eng |
dc.subject | Bandwidth | eng |
dc.subject | MAVE method | eng |
dc.subject | Semi-parametric efficiency | eng |
dc.subject.ddc | 330 Wirtschaft | |
dc.title | Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator | |
dc.type | workingPaper | |
dc.identifier.urn | urn:nbn:de:kobv:11-10097778 | |
dc.identifier.doi | http://dx.doi.org/10.18452/4193 | |
local.edoc.pages | 33 | |
local.edoc.type-name | Diskussionspapier | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
local.edoc.container-year | 2009 | |
dc.identifier.zdb | 2195055-6 | |
bua.series.name | Sonderforschungsbereich 649: Ökonomisches Risiko | |
bua.series.issuenumber | 2009,28 |