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具有截面相关的变系数异质面板数据模型的估计

Author

Listed:
  • Ying Fang
  • Qiuhua Xu

Abstract

本文建立了一类变系数异质面板数据模型。此模型假设自变量的系数是某一平滑变量的未知函数；允许自变量、平滑变量和误差项存在通过共同因子结构引入的截面相关。由于一些共同因子的不可观测性，本文采用局部线性共同相关效应估计方法对未知的函数进行估计并证明了估计量的渐近正态性质。蒙特卡洛模拟结果表明该估计方法具有良好的小样本性质。

Suggested Citation

  • Ying Fang & Qiuhua Xu, 2014. "具有截面相关的变系数异质面板数据模型的估计," Working Papers 2014-07-31, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002247
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