Estimating additive nonparametric models by partial Lq norm: the curse of fractionality

Oliver Linton

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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 [less-than-or-equal] 3/2 the rate can be slower.

JEL-codes: J1 (search for similar items in EconPapers)
Date: 2001-12
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Citations: View citations in EconPapers (3)

Published in Econometric Theory, December, 2001, 17(6), pp. 1037-1050. ISSN: 0266-4666

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Related works:
Journal Article: ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:319

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