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The phrase "not to worry" feels more like German grammar than English.

What category of grammar is this, and are there any comparable examples?

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Sounds a lot like Yiddish to me. The category is "non-English syntax", which is not a grammatical category. English has no grammatical categories for borrowed foreign expressions. –  user21497 Apr 25 '13 at 4:13
    
I would classify that as both a fragment and a set phrase. Both can have odd grammar. –  Andrew Leach Apr 25 '13 at 6:53
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Although John M. Landsberg makes a good point that "not to worry" originated as a fragment, it is no longer one, and is now an idiom meaning "never mind."

For this reason, it is entirely acceptable (and grammatical, since idioms are not required to adhere to other standard grammar rules) to use it on its own.

Oh no! It's started to rain! Oh well. Not to worry. I'll just have to make a dash for it.

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+1,Matt. Quite right. –  John M. Landsberg Apr 25 '13 at 19:38
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My feeling, and it's only that, agrees with Andrew Leach's assessment. This, I believe, is a fragment, but an effective one which stands alone quite well. I think it has arisen by extracting the core of a well-known statement of reassurance. Examples follow:

I advised her not to worry about the consequences.

He told me not to worry, but to jump off without fear.

Merely saying to someone not to worry, then, is more efficient and less stuffy than saying something like, "I would earnestly advise you not to worry."

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