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Efficient estimation of generalized additive nonparametric regression models

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  • Linton, Oliver

Abstract

We define new procedures for estimating generalized additive nonparametric regression models that are more efficient than the Linton and Härdle (1996, Biometrika 83, 529–540) integration-based method and achieve certain oracle bounds. We consider criterion functions based on the Linear exponential family, which includes many important special cases. We also consider the extension to multiple parameter models like the gamma distribution and to models for conditional heteroskedasticity.

Suggested Citation

  • Linton, Oliver, 2000. "Efficient estimation of generalized additive nonparametric regression models," LSE Research Online Documents on Economics 314, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:314
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    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics

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