M-estimateurs semi-paramétriques dans les modèles à direction révélatrice unique

Bulletin of the Belgian Mathematical Society - Simon Stevin

Volumn 6, Issue 2, 1999, Pages 161-185

  Delecroix, Michel ^a   Hristache, Marian ^a  

^a ENSAI Ecole Nationale de la Statistique et de lAnalyse de lInformation   (France)

Author keywords

Efficiency bounds; M estirnators; Pseudo maximum likelihood; Semipararnetric models; Single index models

Indexed keywords

EID: 0000245533     PISSN: 13701444     EISSN: None     Source Type: Journal    
DOI: 10.36045/bbms/1103141030     Document Type: Article

References (19)

1. Bonneu M., Delecroix M., Hristache M. (1995) : Semiparametric Estimation of Generalized Linear Models and Related Models, preprint, CREST, Paris.
2. Bonneu M., Delecroix M., Malin E. (1993) : Semiparametric versus nonparametric estimation in single index regression model : a computational approach. Computational Statistics, 8, 207-222.
3. Carroll R,J., Fan J., Gijbels I., Wand M.P. (1995) : Generalized Partially Linear Single-Index Models, discussion paper n°9506. Institut de Statistique, Université Catholique de Louvain.
4. Chamberlain G. (1986) : Asymptotic efficiency in semi-parametric models with censoring, Journal of Econometrics. 32, 189-218.
5. Cosslett S.R. (1987) : Efficiency bounds for distribution-free estimators of the binary choice and censored regression models, Econometrics 55, 559-585.
6. Gourieroux C. (1989) : Econométrie des variables qualitatives, Economica, Paris.
7. Gourieroux C., Monfor, A., Trognon A. (1984) : Pseudo maximum likelihood methods : theory. Econometmca, 52, 681-700.
8. Hardie W., Hall P., Ichimura H. (1993) : Optimal smoothing in single-index models, Annals of Statistics, 21, 157-178.
9. Hardie W., Stoker T.M. (1989) : Investigating smooth multiple regression by the method of average derivatives, Journal of the American Statistical Association, 84, 986-995.
10. Hall P. (1989) : On Projection Pursuit Regression, Annals of Statistics, 17, 573-588.
11. Ichimura H. (1993) : Semiparametric least squares (SLS) and weighted SLS estimation of single-index models, Journal of Econometrics, 58, 71-120.
12. Klein R.L., Spady R.H. (1993) : An efficient semiparametric estimator for binary response models, Econometrica, 61, 387-421.
13. Mc Cullagh P., Neider J. A. (1989) : Generalized Linear Models, Chapman and Hall, London.
14. Newey W.K. (1990) : Efficient estimation of semiparametric models via moment restrictions, Bellcore Economics Discussion Paper #65.
15. Newey W.K. (1994) : The asymptotic variance of semiparametric estimators", Econometrica, 62, 1349-1382.
16. Newey W.K., Stoker T.M. (1993) : "Efficiency of weighted average derivative estimators and index models, Econometrica, 61, 1199-1223.
17. Powell J.L., Stock J.H., Stoker T.M. (1989) : Semiparametric estimation of index coefficients, Econometrica, 57, 1403-1430.
18. Sherman R.P. (1994) : U-processes in the analysis of a generalized semiparametric regression estimator, Econometric Theory, 10, 372-395.
19. Stoker T.M. (1986) : Consistent estimation of scaled coefficients, Econometrica, 54, 1461-1481.