ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY

Oliver Bruce Linton ()

Econometric Theory, 2001, vol. 17, issue 06, pages 1037-1050

Abstract: We propose a new method for estimating additive nonparametric regression models based on taking the Lq median of a sample of kernel estimators. We establish the consistency and asymptotic normality of our procedures. The rate of convergence depends on the value of q. For q 3/2 one has the usual one-dimensional rate, but if q 3/2 the rate can be slower.

Date: 2001

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:06:p:1037-1050_17

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