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Full-Text Articles in Social and Behavioral Sciences
Uniform Nonparametric Inference For Spatially Dependent Panel Data, Jia Li, Zhipeng Liao, Wenyu Zhou
Uniform Nonparametric Inference For Spatially Dependent Panel Data, Jia Li, Zhipeng Liao, Wenyu Zhou
Research Collection School Of Economics
This article proposes a uniform functional inference method for nonparametric regressions in a panel-data setting that features general unknown forms of spatio-temporal dependence. The method requires a long time span, but does not impose any restriction on the size of the cross section or the strength of spatial correlation. The uniform inference is justified via a new growing-dimensional Gaussian coupling theory for spatio-temporally dependent panels. We apply the method in two empirical settings. One concerns the nonparametric relationship between asset price volatility and trading volume as depicted by the mixture of distribution hypothesis. The other pertains to testing the rationality …
Conditional Evaluation Of Predictive Models: The Cspa Command, Jia Li, Zhipeng Liao, Rogier Quaedvlieg, Wenyu Zhou
Conditional Evaluation Of Predictive Models: The Cspa Command, Jia Li, Zhipeng Liao, Rogier Quaedvlieg, Wenyu Zhou
Research Collection School Of Economics
In this article, we introduce a new command, cspa, that implements the conditional superior predictive ability test developed in Li, Liao, and Quaedvlieg (2022, Review of Economic Studies 89: 843–875). With the conditional performance of predictive methods measured nonparametrically by the conditional expectation functions of their predictive losses, we test the null hypothesis that a benchmark model weakly outperforms a collection of competitors uniformly across the conditioning space. The proposed command can implement this test for both independent cross-sectional data and serially dependent time-series data. Confidence sets for the most superior model can be obtained by inverting the test, for …