Nonparametric estimation of additive models with errors-in-variables

• Published in: Econometric reviews Vol. 41; no. 10; pp. 1164 - 1204
• Main Authors: Dong, Hao, Otsu, Taisuke, Taylor, Luke
• Format: Journal Article
• Language: English
• Published: New York Taylor & Francis 2022; Taylor & Francis Ltd
• Subjects: Additives; Approximation; Backfitting; classical measurement error; Convergence; Econometrics; Error analysis; Measurement; nonparametric additive regression; Nonparametric statistics; Normality; ridge regularization; series estimation

In the estimation of nonparametric additive models, conventional methods, such as backfitting and series approximation, cannot be applied when measurement error is present in a covariate. This paper proposes a two-stage estimator for such models. In the first stage, to adapt to the additive structur...