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sandbox kernels confint missing alpha #1231
It looks like the confint in sandbox.nonparametric kernels have hard coded 1 sigma confidence interval, instead of critical value norm.isf(alpha/2)
I'm not able to reproduce the standard errors of Stata yet, but it looks like they are in the same neighborhood. (I haven't tried to figure out the details of the pilot bandwidth of Stata).
Mean prediction for epa2 with fixed bandwidth=1 seems to match.
In my initial plot of confints for all kernels the confidence interval looks much too small. Compared to Stata the implied standard deviation for gaussian is much smaller (about half with pilot bandwidth=1).
Staring at the source, I don't don't understand enough and cannot figure out what the corresponding formulas in Haerdle's book are.
Bruce Hansen has a clearer and shorted description of the estimate of the conditional error variance sigma(x)
Note: I think we assume heteroscedasticity here (based on comments by Bruce Hansen and the calculation). Assuming a constant sigma_error, it could just be estimated by the mean of