On an asymptotically more efficient estimation of the single-index model

Ziqing Chang, Liugen Xue and Lixing Zhu

Journal of Multivariate Analysis, 2010, vol. 101, issue 8, 1898-1901

Abstract: In this note, we revisit the single-index model with heteroscedastic error, and recommend an estimating equation method in terms of transferring restricted least squares to unrestricted least squares: the estimator of the index parameter is asymptotically more efficient than existing estimators in the literature in the sense that it is of a smaller limiting variance.

Keywords: The; single-index; model; Asymptotical; efficiency; Least; squares; estimation (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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