From the help desk: Local polynomial regression and Stata plugins
Roberto G. Gutierrez
StataCorp
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Jean Marie Linhart
StataCorp
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Jeffrey S. Pitblado
StataCorp
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Abstract. Local polynomial regression is a generalization of local mean smoothing as
described by Nadaraya (1964) and Watson (1964). Instead of fitting a local
mean, one instead fits a local pth-order polynomial. Calculations for local
polynomial regression are naturally more complex than those for local means,
but local polynomial smooths have better statistical properties. The
computational complexity may, however, be alleviated by using a Stata
plugin. In this article, we describe the locpoly command for
performing local polynomial regression. The calculations involved are
implemented in both ado-code and with a plugin, allowing the user to assess
the speed improvement obtained from using the plugin. Source code for the
plugin is also provided as part of the package for this program.
View all articles by these authors:
Roberto G. Gutierrez, Jean Marie Linhart, Jeffrey S. Pitblado
View all articles with these keywords:
local polynomial, local linear, smoothing, kernel, plugin
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