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This paper describes an estimator of the additive components of a nonparametric additive model with an unknown link function. When the additive components and link function are twice differentiable with sufficiently smooth second derivatives, the estimator is asymptotically normally distributed...
Persistent link: https://www.econbiz.de/10009643387
This paper describes a method for testing a parametric model of the mean of a random variable <italic>Y</italic> conditional on a vector of explanatory variables <italic>X</italic> against a semiparametric alternative. The test is motivated by a conditional moment test against a parametric alternative and amounts to replacing...
Persistent link: https://www.econbiz.de/10005411704
The smoothed maximum score estimator of the coefficient vector of a binary response model is consistent and, after centering and suitable normalization, asymptotically normally distributed under weak assumptions [5]. Its rate of convergence in probability is <italic>N</italic><sup>−</sup>, where <italic>h</italic> ≥ 2 is an integer...
Persistent link: https://www.econbiz.de/10005610393
Quantile and semiparametric <italic>M</italic> estimation are methods for estimating a censored linear regression model without assuming that the distribution of the random component of the model belongs to a known parametric family. Both methods require estimating derivatives of the unknown cumulative...
Persistent link: https://www.econbiz.de/10005610465
Persistent link: https://www.econbiz.de/10005610491
Persistent link: https://www.econbiz.de/10005610540