On an asymptotically more efficient estimation of the single-index model

In this note, we revisit the single-index model with heteroscedastic error, and recommend an estimating equation method in terms of transferring restricted least squares to unrestricted least squares: the estimator of the index parameter is asymptotically more efficient than existing estimators in the literature in the sense that it is of a smaller limiting variance.

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Year of publication:	2010
Authors:	Chang, Ziqing ; Xue, Liugen ; Zhu, Lixing
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 8, p. 1898-1901
Publisher:	Elsevier
Keywords:	The single-index model Asymptotical efficiency Least squares estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008488057