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: LI, Jia, LIAO, Zhipeng, ZHOU, Wenyu
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Language:English
Published: Institutional Knowledge at Singapore Management University 2022
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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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spelling sg-smu-ink.soe_research-35662022-03-22T01:39:05Z Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command LI, Jia LIAO, Zhipeng ZHOU, Wenyu 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. 2022-01-01T08:00:00Z text application/pdf 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 http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Series estimation Spatio-temporal dependence Uniform confidence band Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Series estimation
Spatio-temporal dependence
Uniform confidence band
Econometrics
spellingShingle Series estimation
Spatio-temporal dependence
Uniform confidence band
Econometrics
LI, Jia
LIAO, Zhipeng
ZHOU, Wenyu
Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command
description 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.
format text
author LI, Jia
LIAO, Zhipeng
ZHOU, Wenyu
author_facet LI, Jia
LIAO, Zhipeng
ZHOU, Wenyu
author_sort LI, Jia
title Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command
title_short Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command
title_full Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command
title_fullStr Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command
title_full_unstemmed Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command
title_sort uniform nonparametric inference for spatially dependent panel data: the xtnpsreg command
publisher Institutional Knowledge at Singapore Management University
publishDate 2022
url 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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