Uniform nonparametric inference for time series using Stata

Jia Li (), Zhipeng Liao () and Mengsi Gao ()
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Jia Li: Duke University
Zhipeng Liao: University of California–Los Angeles
Mengsi Gao: University of California–Berkeley

Stata Journal, 2020, vol. 20, issue 3, 706-720

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

Keywords: tssreg; nonparametric regression; Newey–West standard error; series estimation; specification test; uniform inference (search for similar items in EconPapers)
Date: 2020
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