固定效应下部分线性变系数面板模型的协方差矩阵检验OA北大核心CHSSCDCSTPCD

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.