Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,7
We describe methods for estimating the regression function nonparametrically and for estimating the variance components in a simple variance component model which is sometimes used for repeated measures data or data with a simple clustered structure. We consider a number of different ways of estimating the regression function. The main results are that the simple pooled estimator which treats the data as independent performs very well asymptotically but that we can construct estimators which perform better asymptotically in some circumstances.
semiparametric estimation Local linear regression local quasi-likelihood estimator smoothing variance components