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Keyword: index model;
5 results found.
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Myunghwan Seo and Oliver Linton
We propose a smoothed least squares estimator of the parameters of a threshold regression model. Our model generalizes that considered in Hansen (2000) to allow the thresholding to depend on a linear index of observed re...Read more...
Bas Donkers and Marcia M Schafgans
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 nonpa...Read more...
Arthur Lewbel and Oliver Linton
For vectors x and w, let r(x,w) be a function that can be nonparametrically estimated consistently and asymptotically normally. We provide consistent, asymptotically normal estimators for the functions g and h, where r(x...Read more...
Zongwu Cai, Jianqin Fan and Qiwei Yao
Varying-coefficient linear models arise from multivariate nonparametric regression, nonlinear time series modelling and forecasting, functional data analysis, longitudinal data analysis, and others. It has been a common ...Read more...
A.C. Atkinson and N.G. Shephard
Deletion diagnostics are developed for structural time series models. These show the effect of the deletion of individual observations on residuals and on the estimates of regression parameters. The methods are extended ...Read more...