2014-01-03Buch DOI: 10.18452/4490
An Extended Single Index Model with Missing Response at Random
Härdle, Wolfgang Karl
An extended single-index model is considered when responses are missing at random. A three-step estimation procedure is developed to define an estimator for the single index parameter vector by a joint estimating equation. The proposed estimator is shown to be asymptotically normal. An iterative scheme for computing this estimator is proposed. This algorithm only involves one-dimensional nonparametric smoothers, thereby avoiding the data sparsity problem caused by high model dimensionality. Some simulation study is conducted to investigate the finite sample performances of the pro- posed estimators.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 3, SFB 649 Papers, ISSN:1860-5664