MKERN: Stata module to perform multivariate nonparametric kernel regression

Giovanni Cerulli

Statistical Software Components from Boston College Department of Economics

Abstract: mkern extimates a multivariate nonparametric local kernel regression, by a "radial" local mean or local linear approach using various Kernel functions as weighting schemes (at user's choice). Using the companion command minFile-URL: http://fmwww.bc.edu/repec/bocode/_/cv_mkern, one can also compute the "optimal bandwidth", i.e. the bandwidth minimizing the integrated mean square error (IMSE), via a (computational) cross-validation (CV) approach. Users can also provide their own choice of the bandwidth, thus producing estimation for both oversmoothing and undersmoothing cases. Finally, as an option, mkern offers a graphical plot of the raw data against predicted values to assess the degree of smoothness of the provided estimation.

Language: Stata
Requires: Stata version 14
Keywords: nonparametric; kernel; regression; IMSE; bandwidth (search for similar items in EconPapers)
Date: 2017-10-09
Note: This module should be installed from within Stata by typing "ssc install mkern". 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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http://fmwww.bc.edu/repec/bocode/m/mkern.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mkern.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/minFile-URL:htt ... ocode/_/cv_mkern.ado program code (text/plain)
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http://fmwww.bc.edu/repec/bocode/m/minFile-URL:htt ... ode/_/cv_mkern.sthlp help file (text/plain)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458410

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