Kong, Efang, 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
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 |
| Uncontrolled Keywords: | ISI |
| Library of Congress subject classification: | Q Science > QA Mathematics |
| Journal of Economic Literature Classification System: | 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) |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| Identification Number: | UT ISI:000282744900009 |
| URL: | http://eprints.lse.ac.uk/29851/ |
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