Generalised structured models

We present a general class of nonlinear regression and time series models that we call generalised structured models. The class is a natural generalisation of generalised additive models, and it includes generalised interaction models, structured volatility models, visual GARCH, generalised autoregressive conditional heteroscedasticity, models and varying coefficient models. We discuss estimation principles including smoothing splines and a generalisation of the projection approach of Mammen et al. (1999). We finish the paper with some theoretical considerations about the asymptotic performance of the estimator for the general class of generalised structured models.