Efficient empirical-likelihood-based inferences for the single-index model

Zhensheng Huang and Riquan Zhang

Journal of Multivariate Analysis, 2011, vol. 102, issue 5, 937-947

Abstract: This article proposes the efficient empirical-likelihood-based inferences for the single component of the parameter and the link function in the single-index model. Unlike the existing empirical likelihood procedures for the single-index model, the proposed profile empirical likelihood for the parameter is constructed by using some components of the maximum empirical likelihood estimator (MELE) based on a semiparametric efficient score. The empirical-likelihood-based inference for the link function is also considered. The resulting statistics are proved to follow a standard chi-squared limiting distribution. Simulation studies are undertaken to assess the finite sample performance of the proposed confidence intervals. An application to real data set is illustrated.

Keywords: Confidence; interval; Link; function; Profile; empirical; likelihood; Single-index; model; Single; parameter (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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