A Derivative Based Estimator for Semiparametric Index Models

CentER Working Paper No. 2003-22

Posted: 26 May 2004

See all articles by Marcia Schafgans

Marcia Schafgans

London School of Economics & Political Science (LSE)

Bas Donkers

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Erasmus Research Institute of Management (ERIM); Tinbergen Institute

Date Written: 2003

Abstract

This paper proposes a semiparametric estimator for single- and multiple-index models. It provides an extension of the average derivative estimator to the multiple index model setting. The estimator uses the average of the outer product of derivatives and is shown to be root-N consistent and asymptotically normal. Unlike the average derivative estimator, our estimator still works in the single-index setting when the expected derivative is zero (symmetry). Compared to other estimators for multiple index models, the proposed estimator has the advantage of ease of computation. While many econometric models can be regarded as multiple index models with known number of indices, our estimator in addition provides for a natural framework within which to test for the number of indices required.

Keywords: Semiparametric estimation, index models, average derivatives, outer product of derivatives, rank testing

Suggested Citation

Schafgans, Marcia and Donkers, Bas, A Derivative Based Estimator for Semiparametric Index Models (2003). CentER Working Paper No. 2003-22, Available at SSRN: https://ssrn.com/abstract=550183

Marcia Schafgans

London School of Economics & Political Science (LSE) ( email )

Houghton Street
London, WC2A 2AE
United Kingdom

Bas Donkers (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
Rotterdam, NL 3000 DR
Netherlands
+31 10 408 2411 (Phone)
+31 10 408 9169 (Fax)

HOME PAGE: http://https://www.eur.nl/en/people/bas-donkers

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 2411 (Phone)
+31 10 408 9169 (Fax)

HOME PAGE: http://https://www.eur.nl/en/people/bas-donkers

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

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