Statistical inference for the index parameter in single-index models

Riquan Zhang, Zhensheng Huang and Yazhao Lv

Journal of Multivariate Analysis, 2010, vol. 101, issue 4, 1026-1041

Abstract: In this paper, we are concerned with statistical inference for the index parameter in the single-index model . Based on the estimates obtained by the local linear method, we extend the generalized likelihood ratio test to the single-index model. We investigate the asymptotic behaviour of the proposed test and demonstrate that its limiting null distribution follows a [chi]2-distribution, with the scale constant and the number of degrees of freedom being independent of nuisance parameters or functions, which is called the Wilks phenomenon. A simulated example is used to illustrate the performance of the testing approach.

Keywords: Generalized; likelihood; ratio; test; Local; linear; method; Single-index; models; Wilks; phenomenon; [chi]2-distribution (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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