Since the mid 1980's many statisticians have studied methods for combining parametric and nonparametric esimates to improve the quality of fits in a regression problem. Notably in 1987, Einsporn and Birch proposed the Model Robust Regression estimate (MRR1) in which estimates of the parametric function, ƒ, and the nonparametric function, 𝑔, were combined in a straightforward fashion via the use of a mixing parameter, λ. This technique was studied extensively at small samples and was shown to be quite effective at modeling various unusual functions. In 1995, Mays and Birch developed the MRR2 estimate as an alternative to MRR1. This model involved first forming the parametric fit to the data, and then adding in an estimate of 𝑔 according to the lack of fit demonstrated by the error terms. Using small samples, they illustrated the superiority of MRR2 to MRR1 in most situations. In this dissertation we have developed asymptotic convergence rates for both MRR1 and MRR2 in OLS and GLS (maximum likelihood) settings. In many of these settings, it is demonstrated that the user of MRR1 or MRR2 achieves the best convergence rates available regardless of whether or not the model is properly specified. This is the "Golden Result of Model Robust Regression". It turns out that the selection of the mixing parameter is paramount in determining whether or not this result is attained. / Ph. D.

There has been extensive research done in the area of Semiparametric Regression. These techniques deliver substantial improvements over previously developed methods, such as Ordinary Least Squares and Kernel Regression. Two of these hybrid techniques: Model Robust Regression 1 (MRR1) and Model Robust Regression 2 (MRR2) require the choice of an appropriate bandwidth for smoothing and a mixing parameter that allows a portion of a nonparametric fit to be used in fitting a model that may be misspecifed by other regression methods. The current method of choosing the bandwidth and mixing parameter does not guarantee the optimal choices in either case. The immediate objective of the current work is to address this process of choosing the optimal bandwidth and mixing parameter and to examine the behavior of these estimates using 3D plots. The 3D plots allow us to examine how the semiparametric techniques: MRR1 and MRR2, behave for the optimal (AVEMSE) selection process when compared to data-driven selectors, such as PRESS* and PRESS**. It was found that the structure of MRR2 behaved consistently under all conditions. MRR2 displayed a wider range of "acceptable" values for the choice of bandwidth as opposed to a much more limited choice when using MRR1. These results provide general support for earlier fndings by Mays et al. (2000).