sandbox kernels bugs uniform kernel and confint #1233

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merged 5 commits into from Dec 18, 2013

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@josef-pkt
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bug in uniform kernel, uses and supersedes PR #1208 thanks to hmgaudecker

add unit tests against Stata see #1231
fix bug in confint calculation missing sqrt for K

fitted values, prediction on a grid agree with Stata
confint and se: problems because Stata uses a different way to calculate the standar errors
Also Stata returns NaNs in some cases, worst is cosine

  • made very coarse unit tests, to be in roughly the same neigborhood as Stata. partially these are really more SMOKE tests than verifying content.

Not done

  • I would also like to return sigma_hat and se
  • Some subclasses, kernels define there own methods, left over from development or intentional ?
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Coverage Status

Coverage remained the same when pulling aeddd6c on josef-pkt:kernels_bug_1208 into a3d7835 on statsmodels:master.

@josef-pkt
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TravisCI is green, and I will be giving up here, enough detour. I have one example script to clean up.

It would be nice to have efficient kernel regression for reuse in other areas, there are recent papers on diagnostic tests and for example estimating non-parametric heteroscedasticity or non-parametrically smoothed heteroscedasticity robust covariances.
Code from last years GSOC is still in sandbox.

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Coverage Status

Coverage remained the same when pulling 3892ef9 on josef-pkt:kernels_bug_1208 into c0a62a0 on statsmodels:master.

@josef-pkt josef-pkt merged commit 62a7c7e into statsmodels:master Dec 18, 2013

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@josef-pkt josef-pkt deleted the josef-pkt:kernels_bug_1208 branch Dec 18, 2013
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