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st: Semiparametric estimation of single-index models

From   Daniel Stuart <>
Subject   st: Semiparametric estimation of single-index models
Date   Sun, 21 Oct 2012 19:57:53 -0400

Hi everyone,

I am hoping to estimate a single-index model, E[y|x] = g(x'B), using
one of the following semiparametric estimators discussed in Cameron
and Trivedi's 2005 book "Microeconometrics: Methods and Applications",
page 325-327:

1) the Density-Weighted Average Derivative (DWAD) estimator developed
by Powell, Stock and Stoker (1989)
2) the Weighted Semiparametric Least-Squares (WSLS) estimator
developed by Ichimura (1993),
or, 3) the estimator developed by Klein and Spady (1993), that is not
discussed in Cameron and Trivedi, but seems to be a good option and
maximizes a quasi-likelihood function.

I am hoping to implement any one of these in Stata, and was wondering
if anyone has done this before, or has any tips. I haven't been able
to find a user-written file that calculates the above estimators, so
perhaps coding by hand is the way to go here. Thanks for any advice
you have to offer, and please let me know if I can provide any other
Dan Stuart
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