Arbeitspapier
An extended single index model with missing response at random
An extended single-index model is considered when responses are missing at random. A three-step estimation procedure is developed to define an estimator for the single index parameter vector by a joint estimating equation. The proposed estimator is shown to be asymptotically normal. An iterative scheme for computing this estimator is proposed. This algorithm only involves one-dimensional nonparametric smoothers, thereby avoiding the data sparsity problem caused by high model dimensionality. Some simulation study is conducted to investigate the finite sample performances of the proposed estimators.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2014-003
- Classification
-
Wirtschaft
- Subject
-
Missing data
Estimating equations
Single-index models
Asymptotic normality
- Event
-
Geistige Schöpfung
- (who)
-
Wang, Qihua
Zhang, Tao
Härdle, Wolfgang Karl
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Wang, Qihua
- Zhang, Tao
- Härdle, Wolfgang Karl
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2014
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