Uniform nonparametric inference for spatially dependent panel data

• Main Authors: LI, Jia, LIAO, Zhipeng, ZHOU, Wenyu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: coupling; series estimation; spatial dependence; uniform confidence band; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2557; https://ink.library.smu.edu.sg/context/soe_research/article/3556/viewcontent/space__1_.pdf
• Institution: Singapore Management University

This article proposes a uniform functional inference method for nonparametric regressions in a panel-data setting that features general unknown forms of spatio-temporal dependence. The method requires a long time span, but does not impose any restriction on the size of the cross section or the strength of spatial correlation. The uniform inference is justified via a new growing-dimensional Gaussian coupling theory for spatio-temporally dependent panels. We apply the method in two empirical settings. One concerns the nonparametric relationship between asset price volatility and trading volume as depicted by the mixture of distribution hypothesis. The other pertains to testing the rationality of survey-based forecasts, in which we document nonparametric evidence for information rigidity among professional forecasters, offering new support for sticky-information and noisy-information models in macroeconomics.