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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25344
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Xia, Yingcun | | en_US |
| dc.contributor.author | | Härdle, Wolfgang Karl | | en_US |
| dc.contributor.author | | Linton, Oliver | | en_US |
| dc.date.accessioned | | 2009-05-12 | | en_US |
| dc.date.accessioned | | 2009-07-23T15:15:31Z | | - |
| dc.date.available | | 2009-07-23T15:15:31Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25344 | | - |
| dc.description.abstract | | In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical difficulties. Based on local linear kernel smoother, we propose an estimation method to estimate the single-index model without under-smoothing. Under some conditions, our estimator of the single-index is asymptotically normal and most efficient in the semi-parametric sense. Moreover, we derive higher expansions for our estimator and use them to define an optimal bandwidth for the purposes of index estimation. As a result we obtain a practically more relevant method and we show its superior performance in a variety of applications. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2009,028 | | en_US |
| dc.subject.jel | | C00 | | en_US |
| dc.subject.jel | | C13 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | ADE | | en_US |
| dc.subject.keyword | | Asymptotics | | en_US |
| dc.subject.keyword | | Bandwidth | | en_US |
| dc.subject.keyword | | MAVE method | | en_US |
| dc.subject.keyword | | Semi-parametric efficiency | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Nichtparametrisches Verfahren | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Optimal smoothing for a computationally and statistically efficient single index estimator | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 599994045 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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