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

Jia Li (), Zhipeng Liao and Wenyu Zhou ()
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Jia Li: Singapore Management University
Wenyu Zhou: Zhejiang University

Stata Journal, 2023, vol. 23, issue 1, 243-264

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.

Keywords: xtnpsreg; series estimation; spatiotemporal dependence; panel data; nonparametric inference; uniform confidence band (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1177/1536867X231162035

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