This paper proposes a semiparametric estimator for single- and multiple-index models. It provides an extension of the average derivative estimator to the multiple index model setting. The estimator uses the average of the outer product of derivatives and is shown to be root-N consistent and...

We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators. The functionals used provide moment conditions...

This paper illustrates how to compare different microscopic simulation (MS) models and how to compare a MS model with real data in case the parameters of interest are estimated non- or semiparametrically. As examples we investigate the marginal single-period probability density function of stock...