Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates

@inproceedings{Horowitz1995DirectSE,
  title={Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates},
  author={Joel L. Horowitz and Wolfgang K. H{\"a}rdle},
  year={1995}
}
Abstract Others have developed average derivative estimators of the parameter β in the model E(Y|X = x) = G(xβ), where G is an unknown function and X is a random vector. These estimators are noniterative and easy to compute but require that X be continuously distributed. This article develops a noniterative, easily computed estimator of β for models in which some components of X are discrete. The estimator is n ½ consistent and asymptotically normal. An application to data on product innovation… CONTINUE READING

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