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Specification and estimation of semiparametric multiple-index models

Donkers, Bas and Schafgans, Marcia M. A. (2008) Specification and estimation of semiparametric multiple-index models. Econometric Theory, 24 (06). p. 1584. ISSN 0266-4666

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Abstract

We propose an easy to use derivative-based two-step estimation procedure for semiparametric index models, where the number of indexes is not known a priori. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators, in particular the average outer product of the gradient (AOPG). By testing the rank of the AOPG we determine the required number of indexes. Subsequently, we estimate the index parameters in a method of moments framework, with moment conditions constructed using the estimated average derivative functionals. The estimator readily extends to multiple equation models and is shown to be root-N-consistent and asymptotically normal.

Item Type: Article
Official URL: http://journals.cambridge.org/action/displayJourna...
Additional Information: © 2008 Cambridge University Press
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling
Sets: Departments > Economics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 18 Apr 2011 09:07
URL: http://eprints.lse.ac.uk/35699/

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