Publications [#352441] of Jia Li

Journal Articles

1. Li, J; Liao, Z; Gao, M, Uniform nonparametric inference for time series using Stata, Stata Journal, vol. 20 no. 3 (September, 2020), pp. 706-720 [doi]
   (last updated on 2021/07/07)

   Abstract:
   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.