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Additive Models: Extensions and Related Models

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  • Enno Mammen
  • Byeong U. Park
  • Melanie Schienle

Abstract

We give an overview over smooth back tting type estimators in additive models. Moreover we il- lustrate their wide applicability in models closely related to additive models such as nonparametric regression with dependent error variables where the errors can be transformed to white noise by a linear transformation, nonparametric regression with repeatedly measured data, nonparametric panels with xed e ects, simultaneous nonparametric equation models, and non- and semiparamet- ric autoregression and GARCH-models. We also discuss extensions to varying coecient models, additive models with missing observations, and the case of nonstationary covariates.

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-045.pdf
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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2012-045.

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Length: 30 pages
Date of creation: Jul 2012
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2012-045

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Keywords: smooth backfitting; additive models;

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References

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  1. Serge Darolles & Jean-Pierre Florens & Eric Renault, 2000. "Nonparametric Instrumental Regression," Working Papers, Centre de Recherche en Economie et Statistique 2000-17, Centre de Recherche en Economie et Statistique.
  2. Xiaohong Chen & Markus Reiss, 2007. "On rate optimality for ill-posed inverse problems in econometrics," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP20/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Oliver Linton & Enno Mammen & N Nielsen, 2000. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2000/386, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  5. Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  6. Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
  7. Whitney K. Newey & James L. Powell, 2003. "Instrumental Variable Estimation of Nonparametric Models," Econometrica, Econometric Society, Econometric Society, vol. 71(5), pages 1565-1578, 09.
  8. Raymond J. Carroll & Arnab Maity & Enno Mammen & Kyusang Yu, 2009. "Nonparametric additive regression for repeatedly measured data," Biometrika, Biometrika Trust, Biometrika Trust, vol. 96(2), pages 383-398.
  9. Oliver Linton & Jens Perch Nielsen & Søren Feodor Nielsen, 2009. "Non-parametric regression with a latent time series," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 12(2), pages 187-207, 07.
  10. Stefan Hoderlein & Enno Mammen & Kyusang Yu, 2011. "Non‐parametric models in binary choice fixed effects panel data," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 14(3), pages 351-367, October.
  11. Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
  12. Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2000/385, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  13. Whitney K. Newey & James L. Powell & Francis Vella, 1999. "Nonparametric Estimation of Triangular Simultaneous Equations Models," Econometrica, Econometric Society, Econometric Society, vol. 67(3), pages 565-604, May.
  14. Oliver Linton & Enno Mammen, 2006. "Nonparametric transformation to white noise," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 4426, London School of Economics and Political Science, LSE Library.
  15. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  16. Enno Mammen, 2003. "Generalised structured models," Biometrika, Biometrika Trust, Biometrika Trust, vol. 90(3), pages 551-566, September.
  17. Enno Mammen & Christoph Rothe & Melanie Schienle, 2010. "Nonparametric Regression with Nonparametrically Generated Covariates," SFB 649 Discussion Papers, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany SFB649DP2010-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  18. Berthold R. Haag, 2008. "Non-parametric Regression Tests Using Dimension Reduction Techniques," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(4), pages 719-738.
  19. Göran Kauermann, 2003. "Local Likelihood Estimation in Generalized Additive Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(2), pages 317-337.
  20. Mammen, Enno & Støve, Bård & Tjøstheim, Dag, 2009. "Nonparametric Additive Models For Panels Of Time Series," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(02), pages 442-481, April.
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