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

  • Oliver Linton (a1)
  • Published online: 01 December 2001
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.

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Corresponding author
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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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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