Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65301
Authors: 
Xia, Yingcun
Härdle, Wolfgang
Year of Publication: 
2002
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,56
Abstract: 
One of the most difficult problems in applications of semiparametric generalized partially linear single-index model (GPLSIM) is the choice of pilot estimators and complexity parameters which may result in radically different estimators. Pilot estimators are often assumed to be root-n consistent, although they are not given in a constructible way. Complexity parameters, such as a smoothing bandwidth are constrained to a certain speed, which is rarely determinable in practical situations. In this paper, efficient, constructible and practicable estimators of GPLSIMs are designed with applications to time series. The proposed technique answers two questions from Carroll et al. (1997): no root-n pilot estimator for the single index part of the model is needed and complexity parameters can be selected at the optimal smoothing rate. The asymptotic distribution is derived and the corresponding algorithm is easily implemented. Examples from real data sets (credit-scoring and environmental statistics) illustrate the technique and the proposed methodology of minimum average variance estimation (MAVE).
Subjects: 
Asymptotic distribution
Generalized partially linear model
Local linear smoother
Optimal consistency rate
Single-index model
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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