Kernel Density Code

Yuriy Tchamourliyski ()
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Yuriy Tchamourliyski: Boston College

Statistical Software Components from Boston College Department of Economics

Abstract: The archive contains Gauss programs for weighted kernel density estimation, and cross-validation. The same procedures can be used for non-parametric regression, which is a special case of weighted kernel density estimate, with the weights being given by the dependent variable. Currently, there are three choices for the kernel function (normal, standardized quartic, and unstandardized quartic). Other options include rotating the data, and adjusting for the presence of discrete regressors. See the description at the beginning of each file for details. The code uses a direct implementation, and may be slow for large data sets.

Language: GAUSS
Requires: GAUSS
Keywords: kernel; density; estimation (search for similar items in EconPapers)

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