半参数面板数据交互固定效应模型的理论与应用研究

项目名称： 半参数面板数据交互固定效应模型的理论与应用研究

项目编号： No.11471029

项目类型： 面上项目

立项/批准年度： 2015

项目学科： 数理科学和化学

项目作者： 李高荣

作者单位： 北京工业大学

项目金额： 72万元

中文摘要： 交互效应面板数据模型是一种特殊的混合模型，常产生于重复测量试验，多极抽样调查以及含个体和时间效应的经济调查。在计量经济学、市场分析、区域经济调查等领域引起了足够的重视。半参数面板数据交互固定效应模型包含参数、非参数分量和交互固定效应，其中交互固定效应能够灵活地捕捉数据的差异性。因此该类模型可以描述众多的实际问题，这种灵活性也促使我们计划系统地研究本项目。鉴于模型的特殊结构，给本项目的研究既提出了机遇也对传统统计方法提出了一定的挑战。本项目研究主要有以下几个方面：1.考虑模型的可识别性问题，给出容易计算、有效和稳健的方法估计参数和非参数分量；2.研究模型中参数和非参数分量估计的大样本性质；3.考虑模型的拟合优度检验和固定效应的检验问题，证明检验统计量是否能够服从标准的卡方分布；4.进行数值模拟研究和应用研究。本项目期望在理论上和应用上做出一定的成果，使得研究结果具有重要的理论意义和应用价值。

中文关键词： 面板数据；半参数模型；固定效应；交互效应；假设检验

英文摘要： Panel data models with interactive effects are special mixed models which often appear in repeated experiments, multistage sampling surveys and economic surveys with individual effects and time effects. Panel data models with interactive effects have attracted huge attention in econometrics, market researches and regional economic surveys, etc. Semiparametric panel data models with interactive fixed effects contain parametric components, nonparametric components and interactive fixed effects, where the interactive fixed effects can capture the heterogeneity in the data more flexibly. So a lot of actual problems can be described by these models flexibly. This flexibility motivates us to study the project systematically. Based on the especial structure of the proposed models, it not only provides the opportunity for the study of this project but also brings many challenges for the classical statistical methods. The main works of this project are as follows: 1. we first consider the issues of identification of models, and propose an easier calculation, efficient and robust estimation method to estimate the parametric components and nonparametric components; 2. we will study the large sample properties of the estimators for the parametric components and nonparametric components; 3. we consider the goodness-of-fit test of models and the test issues for fixed effects, and we will prove whether or not the proposed test statistics are asymptotically standard chi-squared; 4. we conduct the numerical simulation studies and real data applications to evaluate the proposed methods. Hence, it has theoretical significance and practical value to study this project, and the theory and application results should be obtained in this project.

英文关键词： Panel data;Semiparametric model;Fixed effects;Interactive effects;Hypothesis testing