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Additive Models: Extensions and Related Models
Mammen, Enno
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Park, Byeong U.
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Schienle, Melanie
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DOI:
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https://doi.org/10.1093/oxfordhb/9780199857944.013.007
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Document Type:
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Book chapter
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Year of publication:
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2014
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Book title:
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The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics
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Page range:
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176-214
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Publisher:
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Racine, Jeffrey Scott
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Place of publication:
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Oxford
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Publishing house:
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Oxford Univ. Press
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ISBN:
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978-0-19-985794-4
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Publication language:
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English
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Institution:
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Außerfakultäre Einrichtungen > SFB 884
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Subject:
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310 Statistics
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Keywords (English):
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generalized additive models , smooth backfitting estimator , Nadaraya–Watson smoother , local linear smoother , semiparametric GARCH models , varying coefficient models , simultaneous nonparametric models
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Abstract:
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This chapter gives an overview over smooth backfitting-type estimators in additive models. Moreover, it illustrates 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 fixed effects, simultaneous nonparametric equation models, and non- and semiparametric autoregression and GARCH models. This chapter also discusses extensions to varying coefficient models, additive models with missing observations, and the case of nonstationary covariates.
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 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
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