Please use this identifier to cite or link to this item:
Delecroix, Michel
Härdle, Wolfgang
Hristache, Marian
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 1997,37
Semiparametric single-index regression involves an unknown finite dimensional parameter and an unknown (link) function. We consider estimation of the parameter via the pseudo maximum likelihood method. For this purpose we estimate the conditional density of the response given a candidate index and maximize the obtained likelihood. We show that this technique of adaptation yields an asymptotically efficient estimator : it has minimal variance among all estimators.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
281.61 kB

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