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

Author

Listed:
  • Jia Li

    (Singapore Management University)

  • Zhipeng Liao

    (UCLA)

  • Wenyu Zhou

    (Zhejiang University)

Abstract

In this article, we introduce a command, xtnpsreg, that implements a uniform nonparametric inference procedure for possibly unbalanced panel datasets with general forms of spatiotemporal dependence. We demonstrate how to apply this command via several examples, including 1) the nonparametric estimation of the conditional mean function and its marginal response, 2) the construction of uniform confidence bands for these nonparametric functional parameters, 3) speci- fication tests for parametric model restrictions, and 4) the estimation and uniform inference for functional coefficients in semi-nonparametric models.

Suggested Citation

  • Jia Li & Zhipeng Liao & Wenyu Zhou, 2023. "Uniform nonparametric inference for spatially dependent panel data: The xtnpsreg command," Stata Journal, StataCorp LP, vol. 23(1), pages 243-264, March.
    • Handle: RePEc:tsj:stataj:v:23:y:2023:i:1:p:243-264
    DOI: 10.1177/1536867X231162035
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj23-1/st0707/
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    File URL: http://hdl.handle.net/10.1177/1536867X231162035
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    Cited by:

    1. Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024. "Time-varying multivariate causal processes," Journal of Econometrics, Elsevier, vol. 240(1).

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