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Semiparametric efficiency for partially linear single-index regression models

Tao Chen and Thomas Parker

Journal of Multivariate Analysis, 2014, vol. 130, issue C, 376-386

Abstract: We calculate semiparametric efficiency bounds for a partially linear single-index model using a simple method developed by Severini and Tripathi (2001). We show that this model can be used to evaluate the efficiency of several existing estimators.

Keywords: Semiparametric efficiency; Partially linear single-index model; Single-index model; Conditional mean restriction; Conditional quantile restriction (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.jmva.2014.06.006

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