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Re: st: RE: Choosing the bandwidth in a local linear regression


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: Choosing the bandwidth in a local linear regression
Date   Fri, 28 Oct 2011 14:17:40 -0400

The package "Estimation of quantile treatment effects with Stata" by
Frölich and Melly described in

http://www.stata-journal.com/article.html?article=st0203

includes an implementation of local linear regression, -locreg- with
bandwidth choice via leave one out cross validation.

To install it, type -net install st0203.pkg-.

_______________________
Jorge Eduardo Pérez Pérez

On Fri, Oct 28, 2011 at 1:36 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> -locpoly- is user-written, as you are asked to explain, but it has long been superseded by the official command -lpoly- (which is a modification). I don't see any support for least-squares cross-validation, so it seems that you need to write your own code to do this in Stata.
>
> Nick
> n.j.cox@durham.ac.uk
>
> Lina C
>
> I´m doing a matching estimation using the following command. I would
> like to calculate the bandwidth using least squares cross-validation,
> however I´m not sure whether this option or command is available in
> stata or whether I need to calculate it by my own. I would appreciate
> any help, many thanks,
>
> locpoly y d x, gen(yhat) at(d) biweight
>
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