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

Linton, Oliver (2001) Estimating additive nonparametric models by partial Lq norm: the curse of fractionality. Econometric Theory, 17 (6). pp. 1037-1050. ISSN 0266-4666

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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.

Item Type: Article
Official URL: http://journals.cambridge.org/action/displayJourna...
Additional Information: © 2001 Cambridge University Press
Divisions: Financial Markets Group
STICERD
Economics
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 15 Feb 2008
Last Modified: 03 Jan 2024 17:24
URI: http://eprints.lse.ac.uk/id/eprint/319

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