DKDENSITY: Stata module for deconvolution kernel density estimation and construction of its uniform confidence band

Kengo Kato () and Yuya Sasaki
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Kengo Kato: Cornell University

Statistical Software Components from Boston College Department of Economics

Abstract: This program executes deconvolution kernel density estimation and a construction of its uniform confidence band for it based on Kato and Sasaki (J. Econometrics, 2018). The command requires as input two measurements, x1 and x2, of the unobserved latent variable x with classical measurement errors, e1 = x1 - x and e2 = x2 - x, respectively. The output consists of a deconvolution kernel density estimate of f(x) and its uniform confidence band over a domain of x.

Language: Stata
Requires: Stata version 14.2
Keywords: kernel density; deconvolution; confidence band (search for similar items in EconPapers)
Date: 2020-05-03, Revised 2022-05-01
Note: This module should be installed from within Stata by typing "ssc install dkdensity". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/d/dkdensity.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dkdensity.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/e/example_1982_1983.dta sample data file (application/x-stata)

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