High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...

In this paper, we study a general class of semiparametric optimization estimators of a vector-valued parameter. The criterion function depends on two types of innite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated...

In many applications, covariates are not observed but have to be estimated from data. We outline some regression-type models where such a situation occurs and discuss estimation of the regression function in this context.We review theoretical results on how asymptotic properties of nonparametric...

We study a general class of semiparametric estimators when the innite-dimensional nuisance parameters include a conditional expectation function that has been estimated nonparametri- cally using generated covariates. Such estimators are used frequently to e.g. estimate nonlinear models with...

We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with generated covariates. Such estimators appear in numerous econometric applications, including nonparametric estimation of simultaneous equation models, sample selection models,...

We give an overview over smooth back tting type estimators in additive models. Moreover we illustrate their wide applicability in models closely related to additive models such as nonparametric regression with dependent error variables where the errors can be transformed to white noise by a...

We give an overview over smooth back tting type estimators in additive models. Moreover we illustrate their wide applicability in models closely related to additive models such as nonparametric regression with dependent error variables where the errors can be transformed to white noise by a...

This chapter gives an overview over smooth backfitting-type estimators in additive models. Moreover, it illustrates their wide applicability in models closely related to additive models such as nonparametric regression with dependent error variables where the errors can be transformed to white...

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...