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

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) specification tests for parametric model restrictions, and 4) the estimation and uniform inference for functional coefficients in semi-nonparametric models.