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Kernel Density Code

Author

Listed:
  • Yuriy Tchamourliyski

    (Boston College)

Programming Language

GAUSS

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.

Suggested Citation

  • Yuriy Tchamourliyski, "undated". "Kernel Density Code," Statistical Software Components G00003, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:g00003
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/s/semip.zip
    Download Restriction: no
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    More about this item

    Keywords

    kernel density estimation; GAUSS;

    Statistics

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