KOTLARSKI: Stata module to execute deconvolution kernel density estimation and produce a robust construction of its uniform confidence band
2021
kotlarski executes deconvolution kernel density estimation and a robust construction of its uniform confidence band based on Kato, Sasaki, and Ura (Quantitative Economics, 2021). The command requires as input two measurements, x1 and x2, of the unobserved latent variable x with classical measurement errors, e1 = x1 - x and e2 = x2 - x, respectively. The output consists of a deconvolution kernel density estimate of f(x) and their uniform confidence band over a domain of x.
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