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st: lpoly and weighted regression

From   Umair Khalil <>
Subject   st: lpoly and weighted regression
Date   Sun, 1 Apr 2012 02:21:31 -0400


I had a small question about the lpoly command I used it with the relevant

lpoly Y X if X >0, bw(i) deg(k) kernel(epan2) nograph n(1) at(X0) gen(`s')
se(`serr')  (where X0 = 0, evaluation at 1 point only)

I had to do something else as well so i tried running the local polynomial
regression by myself, I generated the Kernel weights and then just ran an
OLS which amounts to a weighted regression with weights given by the
kernel. However, my results dont match beyond a certain bandwidth for each
degree. For example, with degree 1 it matches with lpoly results till
bandwidth 3, with degree 2 it matches till bandwidth 4, with degree 3 it
matches till 5 and so on. I was wondering why there is a discrepancy in
these results.

Also I wanted a little more detail on the standard error calculation in the
lpoly command. I referred to the stata reference for lpoly but I was
wondering if it could be in some more detail as to how stata is actually
doing the standard error calculation here. Any help would be greatly
appreciated. Thank you.


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