Homework 2

c) Simulate data using the following data generating process in TSP and implement the local
linear regression based on the Gaussian kernel. Use Silverman’s rule of thumb and crossvalidation
to determine the bandwidth parameter h. For cross validation, implement grid
search around the rule of thumb estimate. Compare the results.
TSP–Code:
options crt,mem=20,double,limwarn=0;
supres smpl;
options crt, mem=20;
smpl 1 100; set nob = @nob;
set seedin =14;
random(seedin=14) x eps;
y = 1+ x -x^2 + eps/3;
sort(all) x;
msd(noprint,all) x;
SET H00h00=@Stddev;
if @iqr/1.349