  We consider least squares estimators of the finite regression parameter
$\alpha$ in the single index regression model $Y=\psi(\alpha^T X)+\epsilon$,
where $X$ is a $d$-dimensional random vector, $\E(Y|X)=\psi(\alpha^T X)$, and
where $\psi$ is monotone. It has been suggested to estimate $\alpha$ by a
profile least squares estimator, minimizing $\sum_{i=1}^n(Y_i-\psi(\alpha^T
X_i))^2$ over monotone $\psi$ and $\alpha$ on the boundary $S_{d-1}$of the unit
ball. Although this suggestion has been around for a long time, it is still
unknown whether the estimate is $\sqrt{n}$ convergent. We show that a profile
least squares estimator, using the same pointwise least squares estimator for
fixed $\alpha$, but using a different global sum of squares, is
$\sqrt{n}$-convergent and asymptotically normal. The difference between the
corresponding loss functions is studied and also a comparison with other
methods is given.
