Uniform nonparametric inference for time seriesusing Stata

• Autores: Jia Li, Zhipeng Liao, Mengsi Gao
• Localización: The Stata journal, ISSN 1536-867X, Vol. 20, Nº. 3, 2020, págs. 706-720
• Idioma: inglés
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• Resumen

  • In this article, we introduce a command,tssreg, that conducts non-parametric series estimation and uniform inference for time-series data, includingthe case with independent data as a special case. This command can be used tononparametrically estimate the conditional expectation function and the uniformconfidence band at a user-specified confidence level, based on an econometric the-ory that accommodates general time-series dependence. The uniform inferencetool can also be used to perform nonparametric specification tests for conditionalmoment restrictions commonly seen in dynamic equilibrium models.