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Abstract Details
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Activity Number:
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489
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Type:
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Invited
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Date/Time:
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Wednesday, August 3, 2011 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #300034 |
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Title:
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Semiparametric Estimation in a Single Index Model with Endogenous Variables
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Author(s):
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Ingrid Van Keilegom*+ and Melanie Birke and Sébastien Van Bellegem
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Companies:
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Université Catholique de Louvain and Ruhr-Universität Bochum and Université Catholique de Louvain
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Address:
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Institute of Statistics, Louvain-la-Neuve, 1348, Belgium
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Keywords:
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endogeneity ;
single-index model ;
inverse problem ;
instrumental variable ;
efficiency
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Abstract:
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In this talk we consider the estimation of a semiparametric single-index model when endogeneity is present. The presence of an instrument is assumed that is non-correlated with the error term. The proposed estimator is the solution of an inverse problem. The asymptotic properties of the proposed estimator are studied, and the estimators are also studied for small samples through simulations.
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