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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.

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