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Statistical Inference in Single-Index and Partially Nonlinear Models

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  • Jiti Gao
  • Hua Liang
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Abstract

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File URL: http://hdl.handle.net/10.1023/A:1003118812392
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Bibliographic Info

Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 49 (1997)
Issue (Month): 3 (September)
Pages: 493-517

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Handle: RePEc:spr:aistmt:v:49:y:1997:i:3:p:493-517

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Web page: http://www.springerlink.com/link.asp?id=102845

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Related research

Keywords: Asymptotic normality; semiparametric single-index regression model; finite series approximation; partially nonlinear model;

References

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  1. Hardle, W. & Hall, P. & Ichimura, H., 1991. "Optimal smoothing in single index models," CORE Discussion Papers 1991007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Ruud, Paul A., 1986. "Consistent estimation of limited dependent variable models despite misspecification of distribution," Journal of Econometrics, Elsevier, vol. 32(1), pages 157-187, June.
  3. Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-81, November.
  4. Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 277-318.
  5. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
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Citations

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Cited by:
  1. Gao, Jiti & Tong, Howell & Wolff, Rodney, 2002. "Model Specification Tests in Nonparametric Stochastic Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 324-359, November.
  2. Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000.
  3. Huang, Tzee-Ming & Chen, Hung, 2008. "Estimating the parametric component of nonlinear partial spline model," Journal of Multivariate Analysis, Elsevier, vol. 99(8), pages 1665-1680, September.
  4. Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006.

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