An efficient marginal integration estimator of a semiparametric additive modelling
In this paper we introduce estimators for the nonparametric and the finite dimensional components of a partially additive model. In a first step the parametric part is estimated through an instrumental variable method. Then the nonparametric additive components are estimated by inserting the preliminary marginal integration estimator in a one step backfitting algorithm. The resulting estimators are efficient in the sense that it has the same asymptotic bias and variance as if the parametric and the other nonparametric components were known.
Volume (Year): 69 (2004)
Issue (Month): 4 (October)
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References listed on IDEAS
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- Linton, Oliver B., 2000.
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- Li, Qi, 2000. "Efficient Estimation of Additive Partially Linear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 41(4), pages 1073-1092, November.
- Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000. Full references (including those not matched with items on IDEAS)
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