Econometrics Paper
Uniform Bahadur Representation for Local Polynomial Estimates of M-Regression and Its Application to The Additive Model
Efang Kong, Oliver Linton and Yingcun Xia
We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y_i,?X_i ) } . We establish a strong uniform consistency rate for the Bahadur representation ...Read more...