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Semiparametric least squares (SLS) and weighted SLS estimation of single-index models. (English) Zbl 0816.62079
Summary: For the class of single-index models the author constructs a semiparametric estimator of coefficients up to a multiplicative constant that exhibits \(1/\sqrt{n}\)-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. He also investigates a weighting scheme that achieves the semiparametric efficiency bound.

MSC:
62P20 Applications of statistics to economics
62G07 Density estimation
62G05 Nonparametric estimation
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