This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically normally distributed with a rate of convergence in probability of n-2/5....

This paper discusses nonparametric models for panels of time series. There is already a substantial literature on nonlinear models and nonparametric methods in a regression and time series setting. But almost without exception these developments have been limited to univariate and multivariate...

This paper shows that recent published mortality projections with unobserved exposure can be understood as structured density estimation. The structured density is only observed on a sub-sample corresponding to historical calendar times. The mortality forecast is obtained by extrapolating the...

In this paper, we study ordinary backfitting and smooth backfitting as methods of fitting varying coefficient quantile models. We do this in a unified framework that accommodates various types of varying coefficient models. Our framework also covers the additive quantile model as a special case....

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

This paper discusses the solution of nonlinear integral equations with noisy integral kernels as they appear in nonparametric instrumental regression. We propose a regularized Newton-type iteration and establish convergence and convergence rate results. A particular emphasis is on instrumental...

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...