Choosing the optimal bandwidth in case of correlated data

Klaus Brachmann

No 8/95, Discussion Papers in Econometrics and Statistics from University of Cologne, Institute of Econometrics and Statistics

Abstract: In case of estimating growth curves nonparametrically onc faces the fact that the data driven bandwidth selectors published in standard textbooks mostly choose bandwidths much too low. This is due to the positive autocorrelation observed in growth data. This paper introduces an easy way to incorporate this effect in the known concept of penalizing functions.

Date: 1995
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