This paper proposes a semiparametric estimator for single- and multiple index models. It provides an extension of the average derivative estimator to the multiple index model setting. The estimator uses the average of the outer product of derivatives and is shown to be root-N consistent and asymptotically normal. Unlike the average derivative estimator, our estimator still works in the single-index setting when the expected derivative is zero (symmetry). Compared to other estimators for multiple index models, the proposed estimator has the advantage of ease of computation. While many econometric models can be regarded as multiple index models with known number of indices, our estimator in addition provides for a natural framework within which to test for the number of indices required.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number
22.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)