VC_PACK: Stata module for the estimation of smooth varying coefficient models

Fernando Rios-Avila ()

Statistical Software Components from Boston College Department of Economics

Abstract: Nonparametric regressions are powerful statistical tools to model relationships between dependent and independent variables with minimal assumptions on the underlying functional forms. However, the added flexibility creates a curse of dimensionality, an induces a high computational cost in samples with even moderate sizes. As an alternative, semiparametric models that combine the flexibility of nonparametric regressions with the structure of standard models. VC_pack provides commands for the estimation of smooth varying-coefficient model (Hastie and Tibshirani, 1993, Journal of the Royal Statistical Society, Series B 55: 757–796), based on kernel regression methods, using a new set of commands within that aim to facilitate bandwidth selection and model estimation as well as create visualizations of the results.

Language: Stata
Requires: Stata version 8
Keywords: semiparametric regression; nonparametric regression; smooth-varying coefficients; lpoly; npregress (search for similar items in EconPapers)
Date: 2021-04-25
Note: This module should be installed from within Stata by typing "ssc install vc_pack". 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/v/vc_bsreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_bsreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_bw_old.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_bw.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_bw.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_bwalt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_bwalt.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_bwmt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_graph.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_graph.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_pack.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_predict.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_predict.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_preg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_preg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_reg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_reg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_test.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_test.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vt_xtoy.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_gkweight.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_gvbin.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_gwberr.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kweight.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vc_pack_STATA_Paper.do sample do-file (text/plain)

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