Search Results - subject:"Index coefficients"

Generalized single-index models: The EFM approach

Cui, Xia; Härdle, Wolfgang Karl; Zhu, Lixing - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

finan- cial econometrics. Estimating and testing the model index coefficients beta is one of the most important objectives … in the statistical analysis. However, the commonly used assumption on the index coefficients, beta = 1, represents a non …

Persistent link: https://www.econbiz.de/10008577795

Generalized single-index models: The EFM approach

Cui, Xia; Härdle, Wolfgang Karl; Zhu, Lixing - 2009

financial econometrics. Estimating and testing the model index coefficients beta is one of the most important objectives in the … statistical analysis. However, the commonly used assumption on the index coefficients, beta = 1, represents a non-regular problem …

Persistent link: https://www.econbiz.de/10010270710

Square density weighted average derivatives estimation of single index models

Sung, Myung Jae - In: The Korean economic review 30 (2014) 2, pp. 301-331

Persistent link: https://www.econbiz.de/10011285531

Estimation for a marginal generalized single-index longitudinal model

Xu, Peirong; Zhu, Lixing - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 285-299

In this paper, we suggest an estimating equations based approach to study a general single-index model with a given out-layer link for longitudinal data and treat the classical one as its special case. Within a wide range of bandwidths which is for estimating the inner-layer nonparametric link,...

Persistent link: https://www.econbiz.de/10010572287