Centre for Statistical & Survey Methodology Working Paper Series

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We study the marginal longitudinal nonparametric regression problem and some of its semiparametric extensions. We point out that, while several elaborate proposals for efficient estimation have been proposed, a relative simple and straightforward one, based on penalized splines, has not. After describing our approach we then explain how Gibbs sampling and the BUGS software can be used to achieve quick and effective implementation. Illustrations are provided for nonparametric regression and additive models.