st: RE: multivariate lpoly

["Gregory, Christian - ERS" <cgregory@ers.usda.gov>]

You might try -margintegrate-, which uses marginal integration to "integrate out" the nuisance variable (x2) and estimate the conditional expectation of y on x1 (with x2 integrated out).

All best,
Christian

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of László Sándor
Sent: Monday, March 10, 2014 1:47 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: multivariate lpoly

Hi all,
I found some prior notes on the list about multivariate nonparametric regression, but no definitive conclusion. Is there something you would recommend now? Anything that scales as gracefully with the number of x's as possible? (The curse of dimensionality is always an issue with this kind of work.)

Think of
lpoly y x1 [x2 …], generate(ybar)
instead of the simple
lpoly y x, generate(ybar)

Some older code is available as kernreg.ado of Chuck Manski detailed in http://faculty.wcas.northwestern.edu/~cfm754/bounds_stata.pdf

Thanks!

Laszlo

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