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Re: st: Local Linear Regression

From (Roberto G. Gutierrez, StataCorp.)
Subject   Re: st: Local Linear Regression
Date   Wed, 18 Jun 2003 10:54:51 -0500

Joachim Wagner <> asks:

> I am reading a paper by Hahn, Todd and Van der Klaauw "Evaluating the effect
> of an antidiscrimination law using a regression-discontinuity desing" (NBER
> Working Paper 7131, May 1999) where the authors estimate the conditional
> means nonparametrically by 'local linear regression' which requires to
> choose a kernel and bandwith. The authors do not inform the reader about the
> software used.  Question: Is there a Stata ado-file to perform local linear
> regression? In an up-to-data Stata 8 I typed 'findit local linear
> regression' and got no matches (except for some hints to graph). I am aware
> of the 'lowess' command for locally weighted regression, and I wonder how
> this is related to local linear regression. Any ideas?  Many thanks in
> advance.

Have a look at -lp_regress-, available from my user site.  From a net-aware
Stata, type

   . net from

and follow the links.  

-lp_regress- is an implementation of local polynomial regression (of which
local linear regression is a special case), and is written entirely in ado
code.  A faster implementation, -locpoly-, which utilizes Stata plugin code
will soon become publicly available, once plugin capability itself becomes
available via an executable update.

-lowess- differs from kernel methods (such as that employed by -lp_regress-)
in that -lowess- uses a "nearest neighbor(s)" approach while kernel methods
use those observations within a well-defined window width, which may either be
fixed or varying over the x's.  -lp_regress- treats the window width as fixed.

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