Abstract
The missing response problem in single-index models is studied, and a bias-correction method to infer the index coefficients is developed. Two weighted empirical log-likelihood ratios with asymptotic chisquare are derived, and the corresponding empirical likelihood confidence regions for the index coefficients are constructed. In addition, the estimators of the index coefficients and the link function are defined, and their asymptotic normalities are proved. A simulation study is conducted to compare the empirical likelihood and the normal approximation based method in terms of coverage probabilities and average lengths of confidence intervals. A real example illustrates our methods.
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