2004 | OriginalPaper | Chapter
Single Index Models
Authors : Wolfgang Härdle, Axel Werwatz, Marlene Müller, Stefan Sperlich
Published in: Nonparametric and Semiparametric Models
Publisher: Springer Berlin Heidelberg
Included in: Professional Book Archive
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A single index model (SIM) summarizes the effects of the explanatory variables X1, ..., Xd within a single variable called the index. As stated at the beginning of Part II, the SIM is one possibility for generalizing the GLM or for restricting the multidimensional regression E(Y|X) to overcome the curse of dimensionality and the lack of interpretability. For more examples of motivating the SIM see Ichimura (1993). Among others, this reference mentions duration, truncated regression (Tobit) and errors-in-variables modeling.