两维异质性面板分位数模型的双惩罚回归方法OA北大核心CHSSCDCSSCICSTPCD

This paper focuses on the panel quantile model with two-dimensional heterogeneity structure of coefficients,and based on SCAD penalty function and MCP penalty function,proposes a double penalty minimum weighted absolute deviation ob-jective function,and at the same time carries out parameter estimation and two-dimensional heterogeneity structure identification.Then,ADMM algorithm is used to solve the objective function,and BIC information criterion used to select the optimal adjustment parameters through grid search.Finally,based on Monte Carlo simulation results,the finite sample properties of the proposed method are verified,and the practical data are also used to verify the application effect.The results show that the proposed method can accurately identify the two-dimensional heterogeneous structure,and that the accuracy of parameter estimation of Post estima-tor is close to that of Oracle estimator.