Semi-parametric regression: Efficiency gains from modeling the nonparametric part

@inproceedings{Yu2011SemiparametricRE,
  title={Semi-parametric regression: Efficiency gains from modeling the nonparametric part},
  author={Kyusang Yu and Enno Mammen and Byeong U. Park},
  year={2011}
}
It is widely admitted that structured nonparametric modeling that circumvents the curse of dimensionality is important in nonparametric estimation. In this paper we show that the same holds for semi-parametric estimation. We argue that estimation of the parametric component of a semi-parametric model can be improved essentially when more structure is put into the nonparametric part of the model. We illustrate this for the partially linear model, and investigate efficiency gains when the… CONTINUE READING

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