Search Results - subject:"single-index models"

Semi-parametric single-index predictive regression models with cointegrated regressors

Zhou, Weilun; Gao, Jiti; Harris, David; Kew, Hsein - In: Journal of econometrics 238 (2024) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10015073842

Robust M-estimation for additive single-index cointegrating time series models

Donga, Chaohua; Gao, Jiti; Peng, Bin; Tu, Yundong - 2023

Persistent link: https://www.econbiz.de/10014315933

Non-stationary parametric single-index predictive models : simulation and empirical studies

Zhou, Ying; Kew, Hsein; Gao, Jiti - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 349-365). 2023

Persistent link: https://www.econbiz.de/10014313764

Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag - Department of Econometrics and Business Statistics, … - 2014

Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied … convergence rates of the estimators for the single-index models and a trio of convergence rates for the partially linear single-index … models. More precisely, the estimators for single-index model converge along the direction of the true parameter vector at …

Persistent link: https://www.econbiz.de/10010958956

Variable selection and direction estimation for single-index models via DC-TGDR method

Zhong, Wei; Liu, Xi; Ma, Shuangge - 2018

dimensional single-index models. We develop an efficient Threshold Gradient Directed Regularization method via maximizing Distance …

Persistent link: https://www.econbiz.de/10012433199

Single-index copulae

Fermanian, Jean-David; Lopez, Olivier - 2015

Persistent link: https://www.econbiz.de/10011854699

An extended single index model with missing response at random

Wang, Qihua; Zhang, Tao; Härdle, Wolfgang Karl - 2014

An extended single-index model is considered when responses are missing at random. A three-step estimation procedure is developed to define an estimator for the single index parameter vector by a joint estimating equation. The proposed estimator is shown to be asymptotically normal. An iterative...

Persistent link: https://www.econbiz.de/10010331121

Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data

Chen, Jia; Li, Degui; Liang, Hua; Wang, Suojin - Department of Economics and Related Studies, University … - 2014

In this article, we study a partially linear single-index model for longitudinal data under a general framework which includes both the sparse and dense longitudinal data cases. A semiparametric estimation method based on the combination of the local linear smoothing and generalized estimation...

Persistent link: https://www.econbiz.de/10011086671

An Extended Single Index Model with Missing Response at Random

Wang, Qihua; Zhang, Tao; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014

Persistent link: https://www.econbiz.de/10010734529

An extended single index model with missing response at random

Wang, Qihua; Zhang, Tao; Härdle, Wolfgang - 2014

Persistent link: https://www.econbiz.de/10010225739