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S. Sperlich, O. B. Linton and W. H?rdle, “Integration and Backfitting Methods in Addi-tive Models-Finite Sample Properties and Comparison,” Test, Vol. 8, No. 2, 1999, pp. 419-458. doi:10.1007/BF02595879

has been cited by the following article:

• TITLE: Nonparametric Lag Selection for Additive Models based on the Smooth Backfitting Estimator

  AUTHORS: Zheng-Feng Guo, Lingyan Cao, Ying He

  KEYWORDS: Lag selection, FPE; Consistency, Additive Models

  JOURNAL NAME: Theoretical Economics Letters, Vol.1 No.2, August 16, 2011

  ABSTRACT: This paper proposes a nonparametric FPE-like procedure based on the smooth backfitting estimator when the additive structure is a priori known. This procedure can be expected to perform well because of its well-known finite sample performance of the smooth backfitting estimator. Consistency of our procedure is established under very general conditions, including heteroskedasticity.