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基于辅助回归的面板数据固定效应变系数模型的估计

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本文针对面板数据固定效应变系数模型引入辅助回归来解释个体效应与协变量之间的关系,以此来处理固定效应,将模型转化为部分线性变系数模型.为了获得系数函数的估计,采用正交投影的方法消除固定效应,进一步基于局部线性估计对系数函数进行估计.在一些正则条件下,给出了系数函数估计的渐近性质.随后,模拟研究了所提出的估计方法的有限样本性质.模拟结果表明无论个体效应是随机的还是固定的,本文方法优于已有的方法.最后,对艾滋病人的CD4数据进行了实证分析.
Estimation of Varying Coefficient Fixed Effects Models in Panel Data Based on Auxiliary Regression
In this paper,the auxiliary regression is introduced for the varying coefficient fixed effect models in panel data to explain the relationship between individual effects and covariates.We trans-form the varying coefficient models into partial linear varying coefficient models based on the auxiliary regression.In order to obtain the estimation of the function coefficient,the orthogonal projection and the local linear estimation method are used to eliminate the fixed effect,and estimate the function coef-ficient.Under some regular conditions,the asymptotic properties of the function coefficient estimation are given.Then,the finite sample property of the proposed estimation method is studied by the simula-tion.The simulation results show that no matter whether the individual effect is random or fixed,the proposed method is superior to the existing methods.Finally,the CD4 data of AIDS patients are ana-lyzed.

panel datafixed effectvarying coefficient modellocal linear estimation

杨宜平、覃少红、赵培信

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重庆工商大学数学与统计学院,重庆,400067

经济智能计算与监测重庆市重点实验室,重庆,400067

面板数据 固定效应 变系数模型 局部线性估计

重庆市自然科学基金项目重庆市自然科学基金项目重庆市教委人文社科一般项目重庆市社科规划委托项目重庆工商大学校内预研项目第五批重庆市高等学校优秀人才支持计划

cstc2021jcyjmsxmX0079cstc2020jcyjmsxmX000621S1GH1182019WT582019ZKYYA11968021900601

2024

10.12460/j.issn.1001-4268.aps.2024.2022070

应用概率统计
中国数学会概率统计学会

应用概率统计

CSTPCD北大核心
影响因子：0.263
ISSN：1001-4268
年,卷(期)：2024.40(4)