I have tried several commands in "np" package, like "npregbw". I cannot
find a command that can apply to the case with multivariate dependent
variables.

My original problem is to evaluate several conditional moments
nonparametrically. That is E(y|x=x_0) with y a 2X1 variables. I cannot do
them separately because finally I also need to evaluate Var(y|x=x_0).

My thought is doing this:

1. evaluate E(y1|x=x_0) and E(y2|x=x_0) separately;
2. Var(y|x=x_0)=E(yy'|x=x_0)-E(y|x=x_0)E(y|x=x_0)', so I evaluate
E(yy'|x=x_0) by evaluating E(y1y1|x=x_0), E(y1y2|x=x_0), E(y2y2|x=x_0)
separately. Then put them in the right order to form a 2X2 matrix.

Am I right if I do this? And is there direct way to do this?

Thank you for suggestions.
-- 
Best Regards,
Zheng, Ying

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