A colleague is trying to compute a locally-weighted
regression with bootstrapped standard errors or confidence
intervals.
We are following ex3-8.do and ex4-1.do in Deaton's excellent
Analysis of Household Surveys. See
http://www.worldbank.org/lsms/tools/deaton/ for more about
the book and the programs.
I have two questions:
1) Is there a canned way to to compute a locally-weighted
regression with bootstrapped standard errors or confidence
intervals in Stata, for example, with ksm and bstrap.
2) Does anyone familiar with Deaton's book know if there is
a typo in the code for the lowrex program (the core of the
locally-weighted regression estimation), in particular, at
line 12,
reg `1' `2' =kz if kz ~= .; SHOULD PERHAPS READ
reg `1' `2' [weight=kz] if kz ~= .;
cap program drop lowrex;
program def lowrex;
local ic=1;
gen `3'=.;
gen `4'=.;
while `ic' <= $gsize {;
dis `ic';
quietly {;
local xx=`6'[`ic'];
gen z=abs((`2'-`xx')/`5');
gen kz=(15/16)*(1-z^2)^2 if z <= 1;
reg `1' `2' =kz if kz ~= .;
replace `4'=_b[`2'] in `ic';
* replace `3'=_b[_cons]+_b[`2']*`xx' in `ic';
drop z kz;
};
local ic=`ic'+1;
};
end;
Thank you.
Best regards,
Michael Ash, Assistant Professor
of Economics and Public Policy
Department of Economics and CPPA
University of Massachusetts
Amherst, MA 01003
Tel 413-545-6329 Fax 413-545-2921
Email [email protected]
http://www-unix.oit.umass.edu/~maash
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