A Root-n Consistent Backfitting Estimator for Semiparametric Additive Modeling

Abstract

We explore additive models that combine both parametric and nonparametric terms and propose a √n-consistent backfitting estimator for the parametric component of the model. The theoretical properties of the estimator are developed for the case with a single nonparametric term and extended to an arbitrary number of nonparametric additive terms. An estimator for the optimal bandwidth making minimal use of asymptotic expressions for bias and variance is proposed, and a fast implementation algorithm for model fitting and bandwidth selection is developed. The practical behavior of the estimator and bandwidth selection is illustrated by simulation experiments.

Key Words:

• Bandwidth selection
• EBBS
• Local polynomial regression
• Partially linear model