A semiparametric single index model with heterogeneous impacts on an unobserved variable

Jiyon Lee

Journal of Econometrics, 2015, vol. 184, issue 1, 13-36

Abstract: This paper proposes a single-index semiparametric model in which the unknown function has cross-sectional unit specific weights. The initial motivation comes from the search for a better measure of liquidity in stock trading which is captured by the unknown function here. The model is estimated by semiparametric least squares developed by Ichimura (1993) and Ichimura and Lee (1991). The proposed technique differs from theirs in at least two aspects. First, I show that the estimator has desirable asymptotic properties under less restrictive assumptions on data. Second, the form of the unknown function is fixed; however, the coefficients are allowed to differ across the cross-sectional units.

Keywords: Semiparametric least squares; Capital asset pricing; Single index (search for similar items in EconPapers)
JEL-codes: C14 G12 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:184:y:2015:i:1:p:13-36

DOI: 10.1016/j.jeconom.2014.08.001

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