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

Published online by Cambridge University Press:  01 December 2001

Oliver Linton
Oliver Linton
Affiliation:
London School of Economics and Yale University
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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 ≤ 3/2 the rate can be slower.

Type
Research Article
Information
Econometric Theory , Volume 17 , Issue 6 , December 2001 , pp. 1037 - 1050
Copyright
© 2001 Cambridge University Press

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