SeminarsReview of paper “Semiparametric Estimation of Index Coefficients" by Powell J. L., Stock, J. H., and Stoker, T. M.
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Single index model is widely used. Without specifying the form of the link function, the authors of this paper proposed to estimate the coefficients of index model by the density-weighted average derivative estimator. Although smoothing estimator for the density function of covariates is involved, the root-N-consistency and asymptotic normality of the density-weighted average derivative estimator can be derived via applying U-statistic arguments. The nice convergence rate and U-statistic structure further facilitate statistical inference about the parameter of interest.
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Hung Hung
2008-12-26
13:30:00 - 15:00:00
405 , Mathematics Research Center Building (ori. New Math. Bldg.)
Single index model is widely used. Without specifying the form of the link function, the authors of this paper proposed to estimate the coefficients of index model by the density-weighted average derivative estimator. Although smoothing estimator for the density function of covariates is involved, the root-N-consistency and asymptotic normality of the density-weighted average derivative estimator can be derived via applying U-statistic arguments. The nice convergence rate and U-statistic structure further facilitate statistical inference about the parameter of interest.