Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command
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 estim...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2567 https://ink.library.smu.edu.sg/context/soe_research/article/3566/viewcontent/Uniform_Nonparametric__1_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | 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. |
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