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Choosing the optimal bandwidth in case of correlated data

  • Brachmann, Klaus
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    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.

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    Paper provided by University of Cologne, Institute of Econometrics and Statistics in its series Discussion Papers in Econometrics and Statistics with number 8/95.

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    Date of creation: 1995
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    Handle: RePEc:zbw:ucdpse:895
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