文章基本信息

标题：Score estimation of monotone partially linear index model
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作者：Mengshan Xu ; Mengshan Xu ; Taisuke Otsu 等
期刊名称：Econometrics Publications
印刷版ISSN：0969-4366
出版年度：2019
页码：1-20
出版社：Suntory Toyota International Centre for Economics and Related Disciplines
摘要：This paper studies semiparametric estimation of partially linear single index models with a monotone link function. Our estimator is an extension of the score-type estimator developed by Balabdaoui, Groeneboom and Hendrickx (2018) for monotone single index models, which profiles out the unknown link function by isotonic regression. An attractive feature of the proposed estimator is that it is free from tuning parameters for nonparametric smoothing. We show that our estimator for the finite-dimensional components is √ n-consistent and asymptotically normal. Furthermore, by introducing an additional smoothing to obtain the efficient score, we propose an asymptotically efficient estimator for the finite-dimensional components. A simulation study illustrates usefulness of the proposed method.