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

Oliver Linton

Econometric Theory, 2001, vol. 17, issue 6, 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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Working Paper: Estimating additive nonparametric models by partial Lq norm: the curse of fractionality (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:06:p:1037-1050_17

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