Publication Type
Journal Article
Version
acceptedVersion
Publication Date
1-2022
Abstract
In this article, we introduce a command, xtnpsreg, that implements a uniform nonparametric inference procedure for possibly unbalanced panel datasets with general forms of spatio-temporal dependence. We demonstrate how to apply this command in several use cases, including (i) the nonparametric estimation of conditional mean function and its marginal response; (ii) the construction of uniform confidence bands for these nonparametric functional parameters; (iii) specification tests for parametric model restrictions; and (iv) the estimation and uniform inference for functional coefficients in semi-nonparametric models.
Keywords
Series estimation, Spatio-temporal dependence, Uniform confidence band
Discipline
Econometrics
Research Areas
Econometrics
Publication
Stata Journal
First Page
1
Last Page
20
ISSN
1536-867X
Publisher
SAGE
Citation
LI, Jia; LIAO, Zhipeng; and ZHOU, Wenyu.
Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command. (2022). Stata Journal. 1-20.
Available at: https://ink.library.smu.edu.sg/soe_research/2567
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.