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Keyword: index models;

4 results found.

Econometrics Paper

A method of moments estimator for semiparametric index models

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...

July 2005

Econometrics Paper

Nonparametric Estimation of Homothetic and Homothetically Separable Functions

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...

October 2003

Econometrics Paper

Adaptive Varying-Coefficient Linear Models

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...

April 2000

Econometrics Paper

Deletion Diagnostics and Transformations for Time Series

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...

1992