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Integration and backfitting methods in additive models-finite sample properties and comparison

Linton, Oliver and Hardle, W and Sperlich, S (1999) Integration and backfitting methods in additive models-finite sample properties and comparison. TEST, 8 (2). pp. 419-458. ISSN 1133-0686

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Identification Number: 10.1007/BF02595879

Abstract

We examine and compare the finite sample performance of the competing back-fitting and integration methods for estimating additive nonparametric regression using simulated data. Although, the asymptotic properties of the integration estimator, and to some extent the backfitting, method too, are well understood, its small sample properties are not well investigated. Apart from some small experiments in the above cited papers, there is little hard evidence concerning the exact distribution of the estimates. It is our purpose to provide an extensive finite sample comparison between the backfitting procedure and the integration procedure using simulated data.

Item Type: Article
Official URL: http://www.springer.com/statistics/journal/11749
Additional Information: © 1999 Springer
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 27 Apr 2007
Last Modified: 21 Nov 2011 14:18
URI: http://eprints.lse.ac.uk/id/eprint/1261

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