Without imposing stringent distributional assumptions or shape restrictions, nonparametric estimation has been popular in economics and other social sciences for counterfactual analysis, program evaluation, and policy recommendations. This package implements a novel density (and derivatives) estimator based on local polynomial regressions, documented in Cattaneo, Jansson and Ma (2022) <doi:10.18637/jss.v101.i02>: lpdensity() to construct local polynomial based density (and derivatives) estimator, and lpbwdensity() to perform data-driven bandwidth selection.