具有截面相关的变系数异质面板数据模型的估计

Ying Fang and Qiuhua Xu

No 2014-07-31, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

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。

Keywords: 面板数据模型; 截面相关; 变系数; 局部线性估计; 共同相关效应 (search for similar items in EconPapers)
Date: 2014-07-31
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