Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates

Joel L. Horowitz*, Wolfgang Härdle

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

152 Scopus citations

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 n½ consistent and asymptotically normal. An application to data on product innovation by German manufacturers illustrates the estimator's usefulness.

Original languageEnglish (US)
Pages (from-to)1632-1640
Number of pages9
JournalJournal of the American Statistical Association
Volume91
Issue number436
DOIs
StatePublished - Dec 1 1996

Keywords

  • Average derivative estimation
  • Index model

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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