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Additive Models: Extensions and Related Models

Author

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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.

Suggested Citation

  • Enno Mammen & Byeong U. Park & Melanie Schienle, 2012. "Additive Models: Extensions and Related Models," SFB 649 Discussion Papers SFB649DP2012-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    • Handle: RePEc:hum:wpaper:sfb649dp2012-045
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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-045.pdf
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    References listed on IDEAS

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    Cited by:

    1. Deniz Ozabaci & Daniel Henderson, 2015. "Additive kernel estimates of returns to schooling," Empirical Economics, Springer, vol. 48(1), pages 227-251, February.

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    More about this item

    Keywords

    smooth backfitting; additive models;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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