It may be that the labor-intesive part of the -lowess- command is
compiled code (_LOWESS is built-in in both Stata 8 and Stata 9), but
it does run a whole heck of a lot slower than -locpoly- (which is why
I assumed it was interpreted code, I guess). In this simple example,
-lowess- takes more than 15 times as long (2 min versus 6 sec).
clear
sysuse auto
replace wei=round(wei/10)
expand wei
set rmsg on
locpoly price mpg, name(locpoly) width(2)
lowess price mpg, name(lowess) bw(1)
*
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