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An analysis of transformations for additive nonparametric regression. (English) Zbl 0912.62048
Summary: We consider a nonparametric regression model with a parametric family of dependent variable transformations, one of which induces additive covariate effects. We estimate the additive regression effects using the integration method and estimate the transformation parameter from a profiled instrumental variable and pseudolikelihood criterion. The asymptotic distributions of the parameter and regression estimates are given. The practical performance is investigated via an application.

62G07 Density estimation
62G20 Asymptotic properties of nonparametric inference
62E20 Asymptotic distribution theory in statistics
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