Single Index Models with Mixeddiscrete

نویسنده

  • Alexander KOROSTELEV
چکیده

A single index model is studied with binary response and mixed explanatory variables represented by a continuous part and one binary discrete variable. The model leads to a two sample semiparametric problem with a shift parameter related to this discrete variable. The minimal Fisher information for the shift parameter is found in a class of nonparametric link functions. Two root-n consistent estimators of the shift parameter are proposed, based on a comparison of the shift in link functions in the "vertical" and the "horizontal" direction. The limiting variances of these estimators show that properly weighted "horizontal" shifts guarantee asymptotic eeciency. Some simulations show the applicability of these methods.

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تاریخ انتشار 1995