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RE: st: RE: -locpoly-

From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   RE: st: RE: -locpoly-
Date   Tue, 1 Jun 2004 18:01:01 +0100


> Following Nick's reply on my previous posting I was not able 
> to locate the
> reference:
> Fan, Fan, and Gijbels,  "Local Polynomial Modelling and Its 
> Applications",
> in Monographs of Statistics and Applied Probability, Chapman 
> and Hall/CRC.

The book is by Fan and Gijbels. 

> (2) Has anyone written something on nonparametric smoothing for
> higher-dimensions, i.e. more than one explanatory variables ?

In Stata: I don't think so. 

> (3) How can I statistically compare (given a confidence level) the
> parametric fit "y-hat" with the non-parametric fit 
> "conditional-y-mean" ?
> Has anyone written a statistical test such as the one described in
> Hardle(1990, ch.9.3) for the qsuared deviation between the 
> two measures ?

In most applications, in my experience, by far the most fruitful thing to do 
is to draw a graph and think about the difference and whether
it is interesting or important. I don't know how to program that
in terms of a portmanteau measure or a  test leading to a P-value. 

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