Uniform nonparametric inference for time series using Stata

• Main Authors: LI, Jia, LIAO, Zhipeng, GAO, Mengsi
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: st0614; tssreg; nonparametric regression; Newey–West standard error; series estimation; specification test; uniform inference; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2554; https://ink.library.smu.edu.sg/context/soe_research/article/3553/viewcontent/1536867x20953576.pdf
• Institution: Singapore Management University

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 u...