This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Bootstrap Inference in Semiparametric Generalized Additive Models

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Härdle, Wolfgang (Institut für Statistik und Ökonometrie)
Huet, Sylvie (Institut de recherche Agronomique)
Mammen, Enno () (Institut für Angewandte Mathematik)
Sperlich, Stefan (Department de estadística y Econometría)

Additional information is available for the following registered author(s):

Abstract

Semiparametric generalized additive models are a powerful tool in quantitative econometrics. With response Y , covariates X, T the model is E(Y | X; T) = G { X T β + α + m1(T1) + . . . + md(Td) }. Here, G is a known link, â, á are unknown parameters, and m1, . . . , md are unknown (smooth) functions of possibly higher dimensional covariates T1, . . . , Td. Estimates of m1, . . . , md, α and β are presented and asymptotic distribution theory for both the non-parametric and the parametric part is given. The main focus is the application of boot-strap methods. It is shown that bootstrap can be used for bias correction, hypothesis testing (e.g. component-wise analysis) and the construction of uniform confidence bands. Various bootstrap tests for model specification and parametrization are given, in particular for testing additivity and link function specification. The practical performance of our methods is illustrated in simulations and in an application to East-West German migration.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.hha.dk/fin/finance/Research/D01_3.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Helle Vinbaek Stenholt)
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 01-3.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 43 pages
Date of creation: 12 Mar 2001
Date of revision:
Handle: RePEc:hhb:aarfin:2001_003

Contact details of provider:
Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
Fax: + 45 86 15 19 43
Web page: http://www.asb.dk/about/departments/bs.aspx
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Helle Vinbaek Stenholt).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Haerdle, W. & Mammen, E. & Mueller, M., 1996. "Testing parametric versus semiparametric modelling in generalized linear models," Discussion Paper 42, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  2. E. MAMMEN & S. v. d. GEER, . "Penalized quasi-likelihood estimation in partial linear models," Sonderforschungsbereich 373 1996-6, Humboldt Universitaet Berlin.
  3. Fuss, Melvyn & McFadden, Daniel & Mundlak, Yair, 1978. "A Survey of Functional Forms in the Economic Analysis of Production," Histoy of Economic Thought Chapters, in: Fuss, Melvyn & McFadden, Daniel (ed.), Production Economics: A Dual Approach to Theory and Applications, volume 1, chapter 4 McMaster University Archive for the History of Economic Thought. [Downloadable!]
  4. Oliver Linton & Enno Mammen & N Nielsen, 2000. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions," STICERD - Econometrics Paper Series /2000/386, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  5. W. H"Ardle & O. Linton, . "Nonparametric Regression," Sonderforschungsbereich 373 1995-29, Humboldt Universitaet Berlin.
  6. Chunrong Ai, 1997. "A Semiparametric Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 65(4), pages 933-964, July.
  7. J. Fan & W. H"Ardle & E. Mammen, . "Direct estimation of low dimensional components in additive models," Sonderforschungsbereich 373 1996-17, Humboldt Universitaet Berlin.
  8. Stefan Sperlich & Oliver Linton & Wolfgang Härdle, 1999. "Integration and backfitting methods in additive models-finite sample properties and comparison," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 8(2), pages 419-458, December. [Downloadable!] (restricted)
  9. W. Härdle & E. Mammen & I. Proenca, . "A Bootstrap Test for Single Index Models," Sonderforschungsbereich 373 2000-20, Humboldt Universitaet Berlin.
    Other versions:
  10. Michael C. Burda & Wolfgang Härdle & Marlene Müller & Axel Werwatz, 1998. "Semiparametric analysis of German East-West migration intentions: facts and theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(5), pages 525-541. [Downloadable!]
    Other versions:
  11. J. Horowitz, . "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Sonderforschungsbereich 373 1998-83, Humboldt Universitaet Berlin.
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jing Wang & Lijian Yang, 2009. "Efficient and fast spline-backfitted kernel smoothing of additive models," Annals of the Institute of Statistical Mathematics, Springer, vol. 61(3), pages 663-690, September. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? RePEc data is maintained by each archive holder on its own website. Nothing is held centrally.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.