  In this paper, we introduce a wavelet-based method for estimating the EDR
space in Li's semiparametric regression model for achieving dimension
reduction. This method is obtained by using linear wavelet estimators of the
density and regression functions that are involved in the covariance matrix of
conditional expectation whose spectral analysis gives the EDR directions. Then,
consistency of the proposed estimators is proved. A simulation study that allow
one to evaluate the performance of the proposal with comparison to existing
methods is presented.
