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A semiparametric single index model with heterogeneous impacts on an unobserved variable

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  • Lee, Jiyon

Abstract

This paper proposes a single-index semiparametric model in which the unknown function has cross-sectional unit specific weights. The initial motivation comes from the search for a better measure of liquidity in stock trading which is captured by the unknown function here. The model is estimated by semiparametric least squares developed by Ichimura (1993) and Ichimura and Lee (1991). The proposed technique differs from theirs in at least two aspects. First, I show that the estimator has desirable asymptotic properties under less restrictive assumptions on data. Second, the form of the unknown function is fixed; however, the coefficients are allowed to differ across the cross-sectional units.

Suggested Citation

  • Lee, Jiyon, 2015. "A semiparametric single index model with heterogeneous impacts on an unobserved variable," Journal of Econometrics, Elsevier, vol. 184(1), pages 13-36.
    • Handle: RePEc:eee:econom:v:184:y:2015:i:1:p:13-36
    DOI: 10.1016/j.jeconom.2014.08.001
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    Cited by:

    1. Suli Cheng & Jianbao Chen, 2021. "Estimation of partially linear single-index spatial autoregressive model," Statistical Papers, Springer, vol. 62(1), pages 495-531, February.
    2. Chaohua Dong & Jiti Gao & Bin Peng, 2016. "Another Look at Single-Index Models Based on Series Estimation," Monash Econometrics and Business Statistics Working Papers 19/16, Monash University, Department of Econometrics and Business Statistics.

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    More about this item

    Keywords

    Semiparametric least squares; Capital asset pricing; Single index;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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