Abstract
Under quite weak regularity conditions, we propose a simple consistent test for a parametric single index model versus a semiparametric single index model (JEL: C52)
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Yanqin Fan Would like to thank NSERC and SSHRC of Canada for financial support.
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Fan, Y., Liu, Z. A Simple Test for a Parametric Single Index Model. OPSEARCH 34, 186–195 (1997). https://doi.org/10.1007/BF03398523
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DOI: https://doi.org/10.1007/BF03398523