A semiparametric single index model with heterogeneous impacts on an unobserved variable
允许未观测变量受异质影响的半参数单指标模型
This paper proposes a single-index semiparametric model in which the unknown function has cross-sectional unit specific weights. The initial motivation comes from the search for a better measure of liquidity in stock trading which is captured by the unknown function here. The model is estimated by semiparametric least squares developed by Ichimura (1993) and Ichimura and Lee (1991). The proposed technique differs from theirs in at least two aspects. First, I show that the…