Search Results - subject:"MAVE method"

Optimal smoothing for a computationally and statistically efficient single index estimator

Xia, Yingcun; Härdle, Wolfgang Karl; Linton, Oliver - 2009

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical...

Persistent link: https://www.econbiz.de/10010274155

Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator

Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

; MAVE method; Semi-parametric e–ciency. JEL classiflcation: C00; C13; C14 1 Introduction Single index models (SIMs) are … the computational complexity of former procedures and achieves the semiparametric e–ciency bound. It is based on the MAVE … method of Xia et al (2002), which we outline in the next section. Using local linear approximation and global minimization …

Persistent link: https://www.econbiz.de/10005051669

Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator

Härdle, Wolfgang; Linton, Oliver; Xia, Yingcun - Suntory and Toyota International Centres for Economics … - 2009

In semiparametric models it is a common approach to under-smooth thenonparametric functions in order that estimators of the finite dimensionalparameters can achieve root-n consistency. The requirement of under-smoothingmay result as we show from inefficient estimation methods or technical...

Persistent link: https://www.econbiz.de/10008838718

Optimal smoothing for a computationally and statistically efficient single index estimator

Hardle, Wolfgang; Xia, Yingcun; Linton, Oliver - London School of Economics (LSE) - 2009

Persistent link: https://www.econbiz.de/10011126315