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st: optimal bandwidth in Stata 8


From   "Benjamin Villena Roldan" <bvillena@troi.cc.rochester.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: optimal bandwidth in Stata 8
Date   Mon, 15 Sep 2008 12:01:08 -0400

Hi Stata list,
I'm running some kernel density estimation in Stata 8. 
The help file asserts that the "optimal" width is used (bandwidth) to do the
kernel estimation. I searched in the internet, but I haven't found a clear
description of the procedure used. Does anyone know the precise meaning of
"optimal" width? (Cross-validation perhaps?).
Does anyone know if the same choice is used for kernreg and kernreg1?

Thanks,

Benjamin


Benjamín Villena Roldán
PhD candidate, Department of Economics, University of Rochester
http://troi.cc.rochester.edu/~bvillena/





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