Two-Stage Nonparametric Regression for Longitudinal Data

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Two-Stage Nonparametric Regression for Longitudinal Data

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Eva Ferreira () (Departamento de Econometria y Estadistica, Universidad del Pais Vasco, Spain)
Vicente Nunez-Anton () (Departamento de Econometria y Estadistica, Universidad del Pais Vasco, Spain)
Juan M. Rodriguez-Poo () (Departamento de Economia, Universidad de Cantabria, Spain)

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Eva Ferreira

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.

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Paper provided by Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística) in its series BILTOKI with number 199901.

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Date of creation: 03 Jun 1999
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Handle: RePEc:ehu:biltok:199901

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Postal: 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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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing

This paper has been announced in the following NEP Reports:

NEP-ALL-1999-05-03 (All new papers)
NEP-ECM-1999-05-03 (Econometrics)

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Vicente Núñez-Antón & Juan Rodríguez-Póo & Philippe Vieu, 1999. "Longitudinal data with nonstationary errors: a nonparametric three-stage approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 8(1), pages 201-231, June. [Downloadable!] (restricted)

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