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Are there any packages that supports weighted average semi-parametric regressions in R? An example of such a regression is in the links below.

I see that there is package GAM in R for Generalized Additive Models. However, it is not clear to me whether this procedure is the same as weighted average semi-parametric regression. There is also a package called SPM

Some background on semi-parametric methods as used by Connor is here. This paper refers extensively to improvements in the methodology vs. a prior paper by Connor here

Also, attached is a paper that discusses non-parametric regressions in R

Thank you

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    $\begingroup$ I took a quick glance at the article, there is no mention of bilinear regression in it. Please clarify your question. $\endgroup$
    – mpiktas
    Commented Jul 21, 2011 at 6:54
  • $\begingroup$ @mpitkas, I updated the link to a paper that explicitly refers to bi-linear regression. This paper had referenced the prior paper. Hopefully this helps - sorry for the confusion. $\endgroup$
    – Ram Ahluwalia
    Commented Jul 22, 2011 at 2:57
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    $\begingroup$ No it still doesn't. The linked paper (Connor, Hagmann, Linton 2007) refers extensively to how it does things differently and presumably better than the bilinear approach taken in Connor and Linton (2007, forthcoming in the Journal of Empirical Finance). Presumably that paper is the one to link to here. $\endgroup$
    – conjugateprior
    Commented Jul 22, 2011 at 9:13
  • $\begingroup$ I added the reference to the earlier paper as well. Thanks $\endgroup$
    – Ram Ahluwalia
    Commented Jul 22, 2011 at 14:32

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