Nonparametric estimation of additive models with homogeneous components
The importance of homogeneity as a restriction on functional forms has been well recognized in economic theory. Imposing additive separability is also quite popular since many economics models become easier to interpret and estimate when the explanatory variables are additively separable. In this paper we combine the two restrictions and propose a two step nonparametric procedure for estimating additive models whose unknown component functions may be homogeneous of known degree. In the first step we obtain preliminary estimates of the components by imposing homogeneity on local linear fits. In the second step these pilot estimates are marginally integrated to produce estimators of the additive components which possess optimal rates of convergence. We derive the asymptotic theory of these two step estimators and illustrate their use on data collected from livestock farms in Wisconsin.
Year of publication: |
2000
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Authors: | Härdle, Wolfgang ; Kim, Woocheol ; Tripathi, Gautam |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Saved in:
freely available
Series: | SFB 373 Discussion Paper ; 2000,48 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 723771944 [GVK] hdl:10419/62254 [Handle] RePEc:zbw:sfb373:200048 [RePEc] |
Source: |
Persistent link: https://www.econbiz.de/10010310269
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