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A COMPARISON OF DIFFERENT NONPARAMETRIC METHODS FOR INFERENCE ON ADDITIVE MODELS
Category: Econometrics
SEMI- AND NON-PARAMETRIC METHODS II Monday 26th August 2002, 09:30 - 11:00, Room: 1.1
Session Chair(s):
João Nicolau, Universidade Técnica Lisboa - ISEG, PORTUGAL
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Abstract:
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We highlight the main differences of available methods for the analysis of regression functions that
are probably additive. First, definition and interpretation of most common estimators are discussed explaining the different ideas of modeling and what the procedures do to the data. Computational aspects are considered and simulations performed. Second, various
statistics for testing additivity are introduced, accomplished with asymptotic theory, and finally compared. Again, detailed simulation studies are provided. A main focus is directed on the reliability of the methods.
We found that the most striking differences lie in the different
pre-smoothers that are used, but less in the construction each test.
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Find this file in the \Papers\240\ folder of this CD-ROM.
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