Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model

Efang Kong, Oliver Linton and Yingcun Xia

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y_i,?X_i ) } . We establish a strong uniform consistency rate for the Bahadur representation of estimators of the regression function and its derivatives. These results are fundamental for statistical inference and for applications that involve plugging such estimators into other functional where some control over higher order terms are required. We apply our results to the estimation of an additive M-regression model.

Date: 2009-01
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Citations: View citations in EconPapers (3)

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Journal Article: UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:535

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