Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Local Linear Regression


From   [email protected] (Roberto G. Gutierrez, StataCorp.)
To   [email protected]
Subject   Re: st: Local Linear Regression
Date   Wed, 18 Jun 2003 10:54:51 -0500

Joachim Wagner <[email protected]> asks:

> I am reading a paper by Hahn, Todd and Van der Klaauw "Evaluating the effect
> of an antidiscrimination law using a regression-discontinuity desing" (NBER
> Working Paper 7131, May 1999) where the authors estimate the conditional
> means nonparametrically by 'local linear regression' which requires to
> choose a kernel and bandwith. The authors do not inform the reader about the
> software used.  Question: Is there a Stata ado-file to perform local linear
> regression? In an up-to-data Stata 8 I typed 'findit local linear
> regression' and got no matches (except for some hints to graph). I am aware
> of the 'lowess' command for locally weighted regression, and I wonder how
> this is related to local linear regression. Any ideas?  Many thanks in
> advance.

Have a look at -lp_regress-, available from my user site.  From a net-aware
Stata, type

   . net from http://www.stata.com/users/rgutierrez

and follow the links.  

-lp_regress- is an implementation of local polynomial regression (of which
local linear regression is a special case), and is written entirely in ado
code.  A faster implementation, -locpoly-, which utilizes Stata plugin code
will soon become publicly available, once plugin capability itself becomes
available via an executable update.

-lowess- differs from kernel methods (such as that employed by -lp_regress-)
in that -lowess- uses a "nearest neighbor(s)" approach while kernel methods
use those observations within a well-defined window width, which may either be
fixed or varying over the x's.  -lp_regress- treats the window width as fixed.

--Bobby
[email protected]
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index