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Journal of the American Statistical Association Volume 92, 1997 - Issue 440
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Theory and Methods

An Analysis of Transformations for Additive Nonparametric Regression

Oliver B. Linton Yale University, New Haven, CT, 06520, USA
,
Rong Chen Department of Statistics, Texas A&M University, College Station, TX, 77843, USA
,
Naiysin Wang Department of Statistics, Texas A&M University, College Station, TX, 77843, USA
&
Wolfgang Härdle Institut für Statistik und Ökonometrie, Humboldt-Universität zu Berlin, Germany
Pages 1512-1521 | Received 01 Sep 1995, Published online: 17 Feb 2012
 
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Abstract

We consider a nonparametric regression model with a parametric family of dependent variable transformations, one of which induces additive covariate effects. We estimate the additive regression effects using the integration method and estimate the transformation parameter from a profiled instrumental variable and pseudolikelihood criterion. The asymptotic distributions of the parameter and regression estimates are given. The practical performance is investigated via an application.

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