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MKERN: Stata module to perform multivariate nonparametric kernel regression

Author

Listed:
  • Giovanni Cerulli

    (IRCrES-CNR)

Programming Language

Stata

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 min_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.

Suggested Citation

  • Giovanni Cerulli, 2017. "MKERN: Stata module to perform multivariate nonparametric kernel regression," Statistical Software Components S458410, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458410
    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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/m/mkern.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mkern.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/min_cv_mkern.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/min_cv_mkern.sthlp
    File Function: help file
    Download Restriction: no
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