Dear R-users,
One of the main reasons I moved from GAUSS to R (as an econometrician) was
because of the existence of the library LOCFIT for local polynomial regression.
While doing some checking between my former `GAUSS code' and my new `R code', I
came to realize LOCFIT is not quite doing
You should definitely read Loader's book. Anyway, in the meantime, you should
look an introductory paper that you will find at the Locfit web page. I think
that you can set Locfit to estimate at all the sample points, which it does
not by default, and also to use a prespecified constant
