统计与决策2024，Vol.40Issue(4)：28-33,6.DOI:10.13546/j.cnki.tjyjc.2024.04.005
固定效应下部分线性变系数面板模型的协方差矩阵检验
Covariance Matrix Test of Partially Linear Variable Coefficient Panel Model Under Fixed Effects
摘要
Abstract
Panel data modeling analysis has been one of the research hotspots in econometrics and statistics.With the in-depth study of panel data,panel data fixed effect model is widely used.There have been many achievements in panel data anal-ysis of partial linear time-varying coefficient models,but in most cases,it is assumed that the model errors are independent and identically distributed,which may not be consistent with practical problems.With the emergence of high-dimensional panel data,the covariance test of the model has become the focus of research.Based on the local smoothing technique and the contour least squares estimation method,this paper studies the sphericity test of the covariance matrix and the identity matrix test of the error structure of the model,and proves the asymptotic normal distribution and the large sample properties of the test statistics.Monte Carlo simulation further demonstrates the validity and robustness of the test method.关键词
半参数面板模型/轮廓最小二乘/球形检验/单位矩阵检验Key words
semi-parametric panel model/contour least squares/sphericity test/identity matrix test分类
数理科学引用本文复制引用
李睿,舒颐超..固定效应下部分线性变系数面板模型的协方差矩阵检验[J].统计与决策,2024,40(4):28-33,6.基金项目
国家社会科学基金资助项目(17BTJ025) （17BTJ025）
