npindex: fitted values of the function itself?

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npindex: fitted values of the function itself?

Kristin
Dear list,

I am using the np package. With the npindex function I estimate a semiparametric single index model using the method of Klein-Spady.

P(Z=1|X) = G(X’b)

I don’t have any problems to calculated the fitted values and standard errors X’b:

bw = npindexbw(xdat=x, ydat=y_bi, method="kleinspady", nmulti=2)
model = npindex(bws= bw3, gradients= TRUE, residuals = TRUE, boot.num = 50)
x_fit = predict(model, se.fit = TRUE)
x_fit_bi= x_fit$fit
x_fit_bi_se = x_fit$se.fit

However, I also would like to obtain an estimate of G(X’b). For example, after estimating a probit model, it would simply be
G_hat=pnorm(x_fit)

Any help would be very much appreciated!
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Re: npindex: fitted values of the function itself?

Kristin
Dear list,

I realized my mistake!

For those who are interested: what I predicted was in fact G*(X'b*): A single-index model assumes a linear index function for which I obtain the estimated coefficients b*.  The predicted probabilities are then G*(X'b*).

Indeed, this is equivalent to the probit case, where I only need "G_hat=pnorm(x_fit) " if x_fit is the linear prediction.

Best,
Kristin