This subdirectory contains 5 files:
1. DCdensity.ado
Put this file in your ado directory. To find out where this is, issue
-sysdir- at the Stata prompt. Brian Kovak did the heavy lifting on
writing the code. Neither Brian nor I provide any support for the
file. If you believe you have found a conceptual mistake in the code,
however, I would like to hear about it. In that case, please send
along documentation of how you know it is getting the wrong answer.
2. DCdensity_example.do
This file gives example syntax for DCdensity and should be
self-explanatory.
3. DCdensity_example.log
The log file for DCdensity_example.do.
4. DCdensity_example.eps
An encapsulated postscript graph that gets generated by
DCdensity_example.do. It shows the histogram and estimated density,
based on a sample of size 10,000 from the standard normal
distribution, where it has been pretended that the true density has a
break at 0.
5. DCdensity.pdf
This is a pdf file that describes the standard error bands displayed
in the plots for DCdensity. In particular, the standard errors are
presented everywhere on the curve, not just on the boundary. These
are derived under the same assumptions as those involved in the
Proposition of McCrary (2008). It assumes you have read McCrary
(2008) and looked pretty carefully at the proof of the Proposition.
JRM, 9/2008