Donkers, Bas; Schafgans, Marcia - In: Econometric Theory 24 (2008) 06, pp. 1584-1606
We propose an easy to use derivative-based two-step estimation procedure for semiparametric index models, where the number of indexes is not known a priori. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel...