Dong, Chaohua; Gao, Jiti; Tjostheim, Dag - Department of Econometrics and Business Statistics, … - 2014
Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link function in the models and a profile approach...
