nprobust

The nprobust package provides Stata and R implementations of bandwidth selection, point estimation and inference procedures for nonparametric kernel-based density and local polynomial methods.

This work is supported by the National Science Foundation through grant SES-1459931.

For technical, methodological and implementation details see the following papers (and references therein):

• Calonico, Cattaneo and Farrell (2018): On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference, Journal of the American Statistical Association 113(522): 767-779. [Supplemental Appendix]
• Calonico, Cattaneo and Farrell (2018): Coverage Error Optimal Confidence Intervals. [Supplemental Appendix]
• Calonico, Cattaneo and Farrell (2018): nprobust: Nonparametric Kernel-Based Estimation and Robust Bias-Corrected Inference, Journal of Statistical Software, forthcoming.

Implementation in Stata:

• To install/update in Stata type:

· net install nprobust, from(https://sites.google.com/site/nppackages/nprobust/stata) replace

or

· github install iphone7725/nprobust

• Help files: kdrobust, kdbwselect, lprobust, lpbwselect -- Replication files: do-file, nprobust_data
• Repository for manual installation: https://sites.google.com/site/nppackages/nprobust/stata

Implementation in R:

• To install/update in R type:

· install.packages('nprobust')

• Manual -- Replication files: R-script, nprobust_data
• CRAN repository

Last update: May 1, 2018.