From the help desk: Local polynomial regression and Stata plugins

Local polynomial regression is a generalization of local mean smoothing as described by Nadaraya (1964) and Watson (1964). Instead of fitting a local mean, one instead fits a local pth-order polynomial. Calculations for local polynomial regression are naturally more complex than those for local means, but local polynomial smooths have better statistical properties. The computational complexity may, however, be alleviated by using a Stata plugin. In this article, we describe the locpoly command for performing local polynomial regression. The calculations involved are implemented in both ado-code and with a plugin, allowing the user to assess the speed improvement obtained from using the plugin. Source code for the plugin is also provided as part of the package for this program