Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command

• Main Authors: LI, Jia, LIAO, Zhipeng, ZHOU, Wenyu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Series estimation; Spatio-temporal dependence; Uniform confidence band; Econometrics
• 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
• Institution: Singapore Management University

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...