The Stata Journal: Promoting communications on statistics and Stata ( IF 4.8 ) Pub Date : 2020-09-22 , DOI: 10.1177/1536867x20953576 Jia Li 1 , Zhipeng Liao 2 , Mengsi Gao 3
In this article, we introduce a command, tssreg, that conducts nonparametric 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 theory 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.
中文翻译:
使用Stata的时间序列的统一非参数推断
在本文中,我们引入了一个命令tssreg,该命令对时间序列数据进行非参数序列估计和统一推断,包括将独立数据作为特殊情况的情况。基于适应一般时间序列依赖性的计量经济学理论,此命令可用于非参数地估计用户指定的置信水平下的条件期望函数和统一置信带。统一推断工具还可用于对动态平衡模型中常见的条件矩约束执行非参数规范测试。