广义单指标模型的一种新的估计方法

IF 2.9 2区 数学 Q1 ECONOMICS Journal of Business & Economic Statistics Pub Date : 2022-01-18 DOI:10.1080/07350015.2022.2027777
Dixin Zhang, Yulin Wang, Hua Liang
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引用次数: 0

摘要

摘要单指标模型和广义单指标模型是研究低维情况下变量非线性相互作用效应的有力工具。本文针对已知但未知的广义单指标模型,提出了一种新的估计方法。具体来说,我们首先利用局部线性光滑得到回归函数的一致估计量,然后将参数分量作为连续响应进行估计。得到的θ的估计量是渐近正态的。该方法可以有效地克服响应变量离散的广义线性模型在稀疏性和错配时遇到的收敛问题。我们进行了模拟实验来评估所提出方法的数值性能,并分析了来自中国p2p借贷平台的金融数据集作为示例。
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A Novel Estimation Method in Generalized Single Index Models
Abstract The single index and generalized single index models have been demonstrated to be a powerful tool for studying nonlinear interaction effects of variables in the low-dimensional case. In this article, we propose a new estimation approach for generalized single index models with known but unknown. Specifically, we first obtain a consistent estimator of the regression function by using a local linear smoother, and then estimate the parametric components by treating as our continuous response. The resulting estimators of θ are asymptotically normal. The proposed procedure can substantially overcome convergence problems encountered in generalized linear models with discrete response variables when sparseness occurs and misspecification. We conduct simulation experiments to evaluate the numerical performance of the proposed methods and analyze a financial dataset from a peer-to-peer lending platform of China as an illustration.
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来源期刊
Journal of Business & Economic Statistics
Journal of Business & Economic Statistics 数学-统计学与概率论
CiteScore
5.00
自引率
6.70%
发文量
98
审稿时长
>12 weeks
期刊介绍: The Journal of Business and Economic Statistics (JBES) publishes a range of articles, primarily applied statistical analyses of microeconomic, macroeconomic, forecasting, business, and finance related topics. More general papers in statistics, econometrics, computation, simulation, or graphics are also appropriate if they are immediately applicable to the journal''s general topics of interest. Articles published in JBES contain significant results, high-quality methodological content, excellent exposition, and usually include a substantive empirical application.
期刊最新文献
A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity in linear models with interactive effects for large panel data A Novel Estimation Method in Generalized Single Index Models Sequential Scaled Sparse Factor Regression High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
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