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Robust uniform nonparametric inference for time series

Author

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  • Liu, Nan
  • Liu, Yanbo

Abstract

This work supplements Li and Liao (2020) by giving the uniform inference method for the nonparametric model that can include stationary mixingale and unit root regressors. The main intuition is to develop a self-generated regressor with reduced degrees of persistence and test an equivalent model under the null hypothesis. This paper gives the sup-test whose critical values can be approximated by score bootstrap and verifies the finite-sample performance numerically.

Suggested Citation

  • Liu, Nan & Liu, Yanbo, 2026. "Robust uniform nonparametric inference for time series," Economics Letters, Elsevier, vol. 259(C).
    • Handle: RePEc:eee:ecolet:v:259:y:2026:i:c:s0165176525006093
    DOI: 10.1016/j.econlet.2025.112772
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    References listed on IDEAS

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    1. Jia Li & Zhipeng Liao & Mengsi Gao, 2020. "Uniform nonparametric inference for time series using Stata," Stata Journal, StataCorp LLC, vol. 20(3), pages 706-720, September.
    2. Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Kato, Kengo, 2015. "Some new asymptotic theory for least squares series: Pointwise and uniform results," Journal of Econometrics, Elsevier, vol. 186(2), pages 345-366.
    3. Nan Liu & Yanbo Liu & Peter C.B. Phillips & Yajie Zhang, 2025. "Robust Inference for Time Varying Predictability: A Sieve-IVX Approach," Cowles Foundation Discussion Papers 2431, Cowles Foundation for Research in Economics, Yale University.
    4. Li, Jia & Liao, Zhipeng, 2020. "Uniform nonparametric inference for time series," Journal of Econometrics, Elsevier, vol. 219(1), pages 38-51.
    5. Xiaohong Chen & Demian Pouzo, 2012. "Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals," Econometrica, Econometric Society, vol. 80(1), pages 277-321, January.
    6. Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Fernández-Val, Iván, 2019. "Conditional quantile processes based on series or many regressors," Journal of Econometrics, Elsevier, vol. 213(1), pages 4-29.
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    Keywords

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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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