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Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function

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  • Horowitz, Joel L

Abstract

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Suggested Citation

  • Horowitz, Joel L, 2001. "Nonparametric Estimation of a Generalized Additive Model with an Unknown Link Function," Econometrica, Econometric Society, vol. 69(2), pages 499-513, March.
  • Handle: RePEc:ecm:emetrp:v:69:y:2001:i:2:p:499-513
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    Citations

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    Cited by:

    1. Horowitz, Joel L., 2004. "Semiparametric models," Papers 2004,17, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    2. Charles Bellemare & Bertrand Melenberg & Arthur van Soest van Soest, 2002. "Semi-parametric models for satisfaction with income," CeMMAP working papers CWP12/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Gayle, Wayne-Roy, 2013. "Identification and N-consistent estimation of a nonlinear panel data model with correlated unobserved effects," Journal of Econometrics, Elsevier, vol. 175(2), pages 71-83.
    4. Sokbae Lee, 2006. "Identification of a competing risks model with unknown transformations of latent failure times," Biometrika, Biometrika Trust, vol. 93(4), pages 996-1002, December.
    5. Horowitz, Joel L. & Lee, Sokbae, 2004. "Semiparametric estimation of a panel data proportional hazards model with fixed effects," Journal of Econometrics, Elsevier, vol. 119(1), pages 155-198, March.
    6. Arthur Lewbel & Oliver Linton, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," CeMMAP working papers CWP14/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
    8. Coppejans, Mark, 2004. "On Kolmogorov's representation of functions of several variables by functions of one variable," Journal of Econometrics, Elsevier, vol. 123(1), pages 1-31, November.
    9. Lewbel, Arthur & Lu, Xun & Su, Liangjun, 2015. "Specification testing for transformation models with an application to generalized accelerated failure-time models," Journal of Econometrics, Elsevier, vol. 184(1), pages 81-96.
    10. Härdle, Wolfgang Karl & Ritov, Ya’acov & Wang, Weining, 2015. "Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models," Journal of Multivariate Analysis, Elsevier, vol. 134(C), pages 129-145.
    11. Hengartner, Nicolas W. & Sperlich, Stefan, 2005. "Rate optimal estimation with the integration method in the presence of many covariates," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 246-272, August.
    12. Roca-Pardinas, Javier & Sperlich, Stefan, 2007. "Testing the link when the index is semiparametric--a comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6565-6581, August.
    13. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355.
    14. Van Keilegom, Ingrid & Vanhems, Anne, 2016. "Estimation of a semiparametric transformation model in the presence of endogeneity," TSE Working Papers 16-654, Toulouse School of Economics (TSE).
    15. Li, Baibing, 2011. "The multinomial logit model revisited: A semi-parametric approach in discrete choice analysis," Transportation Research Part B: Methodological, Elsevier, vol. 45(3), pages 461-473, March.
    16. repec:eee:jmvana:v:160:y:2017:i:c:p:10-30 is not listed on IDEAS
    17. repec:eee:econom:v:202:y:2018:i:2:p:230-244 is not listed on IDEAS
    18. Wolfgang Karl Härdle & Ya'acov Ritov & Weining Wang, 2013. "Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators," SFB 649 Discussion Papers SFB649DP2013-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    19. Su, Liangjun & Ullah, Aman, 2008. "Local polynomial estimation of nonparametric simultaneous equations models," Journal of Econometrics, Elsevier, vol. 144(1), pages 193-218, May.
    20. Muggeo, Vito M.R. & Ferrara, Giancarlo, 2008. "Fitting generalized linear models with unspecified link function: A P-spline approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2529-2537, January.
    21. Benjamin Colling & Ingrid Keilegom, 2016. "Goodness-of-fit tests in semiparametric transformation models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(2), pages 291-308, June.
    22. Arthur Lewbel & Oliver Linton, 2007. "Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions," Econometrica, Econometric Society, vol. 75(4), pages 1209-1227, July.
    23. Manuel Febrero-Bande & Wenceslao González-Manteiga, 2013. "Generalized additive models for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(2), pages 278-292, June.
    24. Van Keilegom, Ingrid & Vanhems, Anne, 2011. "Semiparametric transformation model with endogeneity: a control function approach," TSE Working Papers 11-243, Toulouse School of Economics (TSE).
    25. Toshio Honda, 2004. "Nonparametric regression with current status data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(1), pages 49-72, March.

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