Cookies?
Library Header Image
LSE Research Online LSE Library Services

Uniform bahadur representation for local polynomial estimates of M-regression and its application to the additive model

Kong, Efang and Linton, Oliver and Xia, Yingcun (2010) Uniform bahadur representation for local polynomial estimates of M-regression and its application to the additive model. Econometric Theory, 26 (05). pp. 1529-1564. ISSN 0266-4666

Full text not available from this repository.

Identification Number: 10.1017/S0266466609990661

Abstract

We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y-i, (X) under bar (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 functionals where some control over higher order terms is required. We apply our results to the estimation of an additive M-regression model.

Item Type: Article
Official URL: http://journals.cambridge.org/action/displayJourna...
Additional Information: © 2010 Cambridge University Press
Subjects: Q Science > QA Mathematics
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
Sets: Departments > Economics
Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 04 Nov 2010 14:36
Last Modified: 04 May 2017 09:35
URI: http://eprints.lse.ac.uk/id/eprint/29851

Actions (login required)

View Item View Item