From the Help Desk: Local Polynomial Regression and Stata Plugins

Abstract

L ocal polynomial regression is a generalization of local mean smooth- ing as described by Nadaraya (1964)a ndWatson (1964). Instead of “tting a local m ean, one instead “ts a local pth-order polynomial. Calculations for local polyno- mial regression are naturally more complex than those for local means, but local polynomial smooths have better statistical properties. The computational com- plexity may, however, be alleviated by using a Stata plugin. In this article, we describe the locpoly command for performing local polynomial regression. The calculations involved are implemented in both ado-code and with a plugin, allowing the user to assess the speed improvement obtained from using the plugin. Source code for the plugin is also provided as part of the package for this program.