Please use this identifier to cite or link to this item:
Climov, Daniela
Delecroix, Michel
Simar, Léopold
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 2001,51
In a single index Poisson regression model with unknown link function, the index parameter can be root-n consistently estimated by the method of pseudo maximumum likelihood. In this paper, we study, by simulation arguments, the practical validity of the asymptotic behavior of the pseudo maximum likelihood index estimator and of some associated cross-validation bandwidths. A robust practical rule for implementing the pseudo maximum likelihood estimation method is suggested, which uses the bootstrap for estimating the variance of the index estimator and a variant of bagging for numerically stabilizing its variance. Our method gives reasonable results even for moderate sized samples thus it can be used for doing statistical inference in practical situtations. The procedure is illustrated through a real data example.
single index models
Poisson regression
kernel estimation
bandwidth selection
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
387.16 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.