A relative error estimation approach for multiplicative single index model
- 81 Downloads
As an alternative to absolute error methods, such as the least square and least absolute deviation estimations, a product relative error estimation is proposed for a multiplicative single index regression model. Regression coefficients in the model are estimated via a two-stage procedure and their statistical properties such as consistency and normality are studied. Numerical studies including simulation and a body fat example show that the proposed method performs well.
KeywordsAsymptotic properties least product relative error relative errors single index model
Unable to display preview. Download preview PDF.
- Ye J M, Price models and the value relevance of accounting information, SSRN Electronic Journal, http://ssrn.com/abstract=1003067, 2007.Google Scholar