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Statistical inference for the index parameter in single-index models

Author

Listed:
  • Zhang, Riquan
  • Huang, Zhensheng
  • Lv, Yazhao

Abstract

In this paper, we are concerned with statistical inference for the index parameter in the single-index model . Based on the estimates obtained by the local linear method, we extend the generalized likelihood ratio test to the single-index model. We investigate the asymptotic behaviour of the proposed test and demonstrate that its limiting null distribution follows a [chi]2-distribution, with the scale constant and the number of degrees of freedom being independent of nuisance parameters or functions, which is called the Wilks phenomenon. A simulated example is used to illustrate the performance of the testing approach.

Suggested Citation

  • Zhang, Riquan & Huang, Zhensheng & Lv, Yazhao, 2010. "Statistical inference for the index parameter in single-index models," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 1026-1041, April.
  • Handle: RePEc:eee:jmvana:v:101:y:2010:i:4:p:1026-1041
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    References listed on IDEAS

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    1. Hardle, Wolfgang & Tsybakov, A. B., 1993. "How sensitive are average derivatives?," Journal of Econometrics, Elsevier, vol. 58(1-2), pages 31-48, July.
    2. Jianqing Fan, 2004. "Generalised likelihood ratio tests for spectral density," Biometrika, Biometrika Trust, vol. 91(1), pages 195-209, March.
    3. Fan, Jianqing & Jiang, Jiancheng, 2005. "Nonparametric Inferences for Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 890-907, September.
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    Citations

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    Cited by:

    1. Huang, Zhensheng & Pang, Zhen & Zhang, Riquan, 2013. "Adaptive profile-empirical-likelihood inferences for generalized single-index models," Computational Statistics & Data Analysis, Elsevier, vol. 62(C), pages 70-82.
    2. repec:bla:scjsta:v:44:y:2017:i:1:p:168-191 is not listed on IDEAS
    3. Strzalkowska-Kominiak, Ewa & Cao, Ricardo, 2013. "Maximum likelihood estimation for conditional distribution single-index models under censoring," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 74-98.
    4. Ewa Strzalkowska-Kominiak & Ricardo Cao, 2014. "Beran-based approach for single-index models under censoring," Computational Statistics, Springer, vol. 29(5), pages 1243-1261, October.

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