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Re: st: Loess confidence bands


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Loess confidence bands
Date   Wed, 7 Mar 2007 23:28:46 -0600

If you are not terribly committed to -lowess- per se, but want to get
a non-parametric smooth curve with nice confidence bands, you could
look into spline regression. The idea is that you create splines that
look like local bumps, pretty much like a kernel, and you run a
-regress-ion on those bumps. As is always the case with -regress-, you
can then -predict- the point esimates and standard errors, and plot
them however you like.

This is quick and dirty, and it uses my version of B-splines routine
-- there is a more official one by Roger Newson; mine is available off
my webpage.

sysuse auto
bspl weight, knots(7) out prefix(_B)
regress price weight _B*
predict yfit , xb
predict sefit, stdp
gen y_hi = yfit + 1.96*sefit
gen y_lo = yfit - 1.96*sefit
twoway rarea y_lo y_hi weight, sort || line yfit weight, sort ||
scatter price weight

No need to bootstap, fast and handy :)). You can improve the look
somewhat by taking a grid of points rather than available points.

On 3/7/07, Paswel Phiri Marenya <ppm3@cornell.edu> wrote:
Dear all:
How do I get confidence bands around my loess graphs? i.e

loess y x (what else do I need to do to show confidence band on the plot?)

Thanks
Paswel

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--
Stas Kolenikov
http://stas.kolenikov.name
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