Econometric Theory



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


Oliver  Linton a1c1
a1 London School of Economics and Yale University

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.


Correspondence:
c1 Address correspondence to: Oliver Linton, Department of Economics, London School of Economics, Houghton Street, London WC2A 2AE, UK; e-mail: lintono@econ.yale.edu.


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