Publication Type
Journal Article
Version
publishedVersion
Publication Date
5-2023
Abstract
In this article, we introduce a command, tssreg, that conducts nonparametric series estimation and uniform inference for time-series data, including the case with independent data as a special case. This command can be used to nonparametrically estimate the conditional expectation function and the uniform confidence band at a user-specified confidence level, based on an econometric theory that accommodates general time-series dependence. The uniform inference tool can also be used to perform nonparametric specification tests for conditional moment restrictions commonly seen in dynamic equilibrium models.
Keywords
st0614, tssreg, nonparametric regression, Newey–West standard error, series estimation, specification test, uniform inference
Discipline
Econometrics
Research Areas
Econometrics
Publication
The Stata Journal
Volume
23
Issue
1
First Page
243
Last Page
264
ISSN
1536-867X
Identifier
10.1177/1536867X20953576
Publisher
SAGE Publications
Citation
LI, Jia; LIAO, Zhipeng; and GAO, Mengsi.
Uniform nonparametric inference for time series using Stata. (2023). The Stata Journal. 23, (1), 243-264.
Available at: https://ink.library.smu.edu.sg/soe_research/2554
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1177/1536867X20953576