Variance reduction for kernel estimators in clustered/longitudinal data analysis |
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| Authors: | Ming-Yen Cheng Robert L Paige Shan Sun Ke Yan |
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| Institution: | 1. National Taiwan University, Taiwan;2. Texas Tech University, USA;3. University of Texas Arlington, USA;4. Missouri University of Science and Technology (formerly University of Missouri - Rolla), USA |
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| Abstract: | We develop a variance reduction method for the seemingly unrelated (SUR) kernel estimator of Wang (2003). We show that the quadratic interpolation method introduced in Cheng et al. (2007) works for the SUR kernel estimator. For a given point of estimation, Cheng et al. (2007) define a variance reduced local linear estimate as a linear combination of classical estimates at three nearby points. We develop an analogous variance reduction method for SUR kernel estimators in clustered/longitudinal models and perform simulation studies which demonstrate the efficacy of our variance reduction method in finite sample settings. |
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| Keywords: | Variance reduction Seemingly unrelated kernel estimator Clustered/longitudinal data |
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