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.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Box-Cox transformation
- Dimensionality reduction