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An efficient marginal integration estimator of a semiparametric additive modelling

  • Moral, Ignacio
  • Rodriguez-Poo, Juan M.
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    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.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4CYPV0P-2/2/587a5420804f96ab530efb79ffb514fb
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    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 69 (2004)
    Issue (Month): 4 (October)
    Pages: 451-463

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    Handle: RePEc:eee:stapro:v:69:y:2004:i:4:p:451-463
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    1. Oliver Linton, 2000. "Efficient estimation of generalized additive nonparametric regression models," LSE Research Online Documents on Economics 314, London School of Economics and Political Science, LSE Library.
    2. Donald, Stephen G & Newey, Whitney K, 2001. "Choosing the Number of Instruments," Econometrica, Econometric Society, vol. 69(5), pages 1161-91, September.
    3. 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 1073-92, November.
    4. Schick, Anton, 1996. "Root-n-consistent and efficient estimation in semiparametric additive regression models," Statistics & Probability Letters, Elsevier, vol. 30(1), pages 45-51, September.
    5. Newey, Whitney K, 1990. "Efficient Instrumental Variables Estimation of Nonlinear Models," Econometrica, Econometric Society, vol. 58(4), pages 809-37, July.
    6. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
    7. Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000.
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