Resumen de Uniform nonparametric inference for time seriesusing Stata

Jia Li, Zhipeng Liao, Mengsi Gao

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