Semiparametric estimation of index coefficients

@inproceedings{Powell1989SemiparametricEO,
  title={Semiparametric estimation of index coefficients},
  author={James Powell and James H. Stock and Thomas M. Stoker},
  year={1989}
}
This paper gives a solution to the problem of estimating coefficients of index models, through the estimation of the density-weighted average derivative of a general regression function. A normalized version of the density-weighted average derivative can be estimated by certain linear instrumental variables coefficients. The estimators, based on sample analogies of the product moment representation of the average derivative, are constructed using nonparametric kernel estimators of the density… CONTINUE READING

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