TY - JOUR
T1 - Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
AU - Ichimura, Hidehiko
PY - 1993/7
Y1 - 1993/7
N2 - For the class of single-index models, I construct a semiparametric estimator of coefficients up to a multiplicative constant that exhibits 1 √n-consistency and asymptotic normality. This class of models includes censored and truncated Tobit models, binary choice models, and duration models with unobserved individual heterogeneity and random censoring. I also investigate a weighting scheme that achieves the semiparametric efficiency bound.
AB - For the class of single-index models, I construct a semiparametric estimator of coefficients up to a multiplicative constant that exhibits 1 √n-consistency and asymptotic normality. This class of models includes censored and truncated Tobit models, binary choice models, and duration models with unobserved individual heterogeneity and random censoring. I also investigate a weighting scheme that achieves the semiparametric efficiency bound.
UR - http://www.scopus.com/inward/record.url?scp=0003187405&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0003187405&partnerID=8YFLogxK
U2 - 10.1016/0304-4076(93)90114-K
DO - 10.1016/0304-4076(93)90114-K
M3 - Article
AN - SCOPUS:0003187405
SN - 0304-4076
VL - 58
SP - 71
EP - 120
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 1-2
ER -