On an asymptotically more efficient estimation of the single-index model
AbstractIn this note, we revisit the single-index model with heteroscedastic error, and recommend an estimating equation method in terms of transferring restricted least squares to unrestricted least squares: the estimator of the index parameter is asymptotically more efficient than existing estimators in the literature in the sense that it is of a smaller limiting variance.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 101 (2010)
Issue (Month): 8 (September)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Huang, Zhensheng & Zhang, Riquan, 2011. "Efficient empirical-likelihood-based inferences for the single-index model," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 937-947, May.
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- Guo, Xu & Xu, Wangli & Zhu, Lixing, 2014. "Multi-index regression models with missing covariates at random," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 345-363.
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