Before revision:  As a result, the estimator achieves oracle convergence rate \sqrt{k \log p/n oracle knows the true first stage and solves only a parametric problem.
After revision:  We then take the loss function to be an indefinite integral of the adjusted moment function with respect to the single-index. The proposed l1-regularized M-estimator achieves the oracle convergence rate \sqrt{k \log p/n oracle knows the true first stage and solves only a parametric problem.