Two-Stage Nonparametric Regression for Longitudinal Data

María Eva Ferreira García, Vicente Alfredo Núñez Antón and Juan M. Rodríguez Poo
Authors registered in the RePEc Author Service: Vicente Núñez-Antón

No 1134-8984, BILTOKI from Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística)

Abstract: In the analysis of longitudinal data it is of main interest to investigate the existence of group and individual effects under correlated observations across time. In this paper, we develop a nonparametric two-step procedure that enables us to estimate group effects under a very general form of correlation across time. Moreover, we propose several methods to estimate the bandwidth and show their asymptotyc optimality. Since the asymptotic distribution is untractable, we develop a randomization test that is suitable for testing the group effects. Finally, we apply the estimation procedure, the bandwidth selection criteria and the randomization test to the data from the Iowa Cochlear Implant Project.

Keywords: Kernel estimation; bandwidth selection; nonstationary errors; group effects; randomization test (search for similar items in EconPapers)
Date: 1999-01
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Dpto. de Econometría y Estadística, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain

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