Cui, Xia; Härdle, Wolfgang Karl; Zhu, Lixing - 2009
financial econometrics. Estimating and testing the model index coefficients beta is one of the most important objectives in the …: the true index is on the boundary of the unit ball. In this paper we introduce the EFM approach, a method of estimating … - 1) components of beta lying in an open unit ball, and then to construct the associated (d - 1) estimating functions by …