An extended single index model with missing response at random

Qihua Wang, Tao Zhang and Wolfgang Härdle

No 2014-003, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: An extended single-index model is considered when responses are missing at random. A three-step estimation procedure is developed to define an estimator for the single index parameter vector by a joint estimating equation. The proposed estimator is shown to be asymptotically normal. An iterative scheme for computing this estimator is proposed. This algorithm only involves one-dimensional nonparametric smoothers, thereby avoiding the data sparsity problem caused by high model dimensionality. Some simulation study is conducted to investigate the finite sample performances of the proposed estimators.

Keywords: Missing data; Estimating equations; Single-index models; Asymptotic normality (search for similar items in EconPapers)
Date: 2014
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Journal Article: An Extended Single-index Model with Missing Response at Random (2016)
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