Additive models: Extensions and related models

Enno Mammen, Byeong U. Park and Melanie Schienle

No 2012-045, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: We give an overview over smooth back tting type estimators in additive models. Moreover we illustrate 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. We also discuss extensions to varying coeffcient models, additive models with missing observations, and the case of nonstationary covariates.

Keywords: smooth backfi tting; additive models (search for similar items in EconPapers)
JEL-codes: C14 C30 (search for similar items in EconPapers)
Date: 2012
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