Over the last twenty-five years, various n-consistent estimators have been devised for the
coefficient vector in the popular semiparametric single-index model. In this paper, we prove …

For conditional time-varying factor models with high-dimensional assets, this article
proposes a high-dimensional alpha (HDA) test to assess whether there exist abnormal …

This article focuses on testing for the presence of alpha in time-varying factor pricing models,
specifically when the number of securities N is larger than the time dimension of the return …

Supplement to “Semiparametric GEE analysis in partially linear single-index models for
longitudinal data”. The supplement gives the proof of Theorem 3 and some technical …

This study investigates composite quantile regression estimation for longitudinal data on the
basis of quadratic inference functions. By incorporating the correlation within subjects, the …

Partially linear single-index models are flexible dimension reduction semiparametric tools
yet still retain ease of interpretability as linear models. This paper is concerned with the …

In this paper we propose a new semiparametric function-on-function quantile regression
model with time-dynamic single-index interactions. Our model is very flexible in taking into …

Based on empirical likelihood method, we investigate statistical inference in partially linear
single-index quantile regression with high dimensional linear and single-index parameters …

Efficient estimation for generalized partially linear single-index models Page 1 Bernoulli 24(2),
2018, 1101–1127 DOI: 10.3150/16-BEJ873 Efficient estimation for generalized partially …

We consider quantile regression incorporating polynomial spline approximation for single-
index coefficient models. Compared to mean regression, quantile regression for this class of …