面板数据模型的设定、统计检验和新进展被引量：43

The Specification of Model,Statistical Tests and New Progresses of Panel Data Analysis

下载PDF

导出

摘要在介绍面板数据及其优势与局限的基础上,首先,从异质性、时变性和相关性的观点对静态面板数据计量模型的设定、动态面板数据模型的估计方法和Granger因果检验进行系统的讨论。其次,按照假设检验的零假设进行分类,系统阐述面板单位根检验和协整检验理论。最后,介绍面板数据计量经济学的一些新进展。 Based on the introduction of the advantages and limitations of panel data,first of all,this paper discuss the specification of static panel regressive model,estimations of dynamic panel model and Granger causality test from the views of heterogeneity,time-variant and correlation.And according to the null hypothesis of hypothesis testing,the theory of panel unit root test and co-integration test are systemically described.Finally,it introduces new progresses of econometrics of panel data.

作者白仲林

机构地区天津财经大学统计系

出处《统计与信息论坛》 CSSCI 2010年第10期3-12,共10页 Journal of Statistics and Information

基金国家自然科学基金项目<基于Bayesian方法的面板单位根检验和协整检验方法研究>(70771072)

关键词面板数据模型设定统计检验新进展 panel data specification of model statistical tests new progresses

分类号 F224.0 [经济管理—国民经济]

引文网络
相关文献

参考文献46

1Baltagi B H, Levin D. Cigarette taxation: raising revenues and reducing consumption[J]. Structural Change and Economic Dynamics, 1992(3) : 321-335.
2Barbieri L. Panel unit root tests: a review[ EB/OL]. (2006 - 10 - 01) [-2010 - 07 - 05 ]. http://www3. unicatt. it/ unieattolica/dipartimenti/DISES/allegati/LBarbieri43. pdf.
3Baltagi B H, Griffin J M, Rich D. Airline deregulation: the cost pieces of the puzzle[J]. International Economic Review, 1995,36(1) :245-258.
4Hsiao C. Analysis of panel data[M]. Cambridge.Cambridge University Press, 2003:18-29.
5Blalock H. Causal inferences in nonexperimental research[M]. Chapel Hill: University of North Carolina Press, 1961: 162-177.
6Allison P D. Causal inference with panel data[EB/OL]. (2005 - 08 - 12)[2010 - 07 - 05]. http://pauldallisors corn/ downloads/Causal % 20 Inference. pdf.
7Kasprzyk D, Duncan G J, Kalton G, Singh M P. Panel surveys[M]. New York:John Wiley, 1989:16-18.
8Fitzgerald J, Gottschalk P, Moffit R. An analysis of sample attrition in panel data[J]. Journal of Human Resources, 1998,33(2) : 251-299.
9Abauf N, Jorian P. Purchasing power parity in the long run[J]. Journal of Finance, 1990,45(1) : 157-174.
10白仲林.同期相关面板数据退势单位根检验的小样本性质[J].数量经济技术经济研究,2006,23(5):146-152. 被引量：7

二级参考文献36

1张晓峒,白仲林.退势单位根检验小样本性质的比较[J].数量经济技术经济研究,2005,22(5):40-49. 被引量：28
2白仲林.同期相关面板数据退势单位根检验的小样本性质[J].数量经济技术经济研究,2006,23(5):146-152. 被引量：7
3Abuaf, Jorion. Purchasing Power Parity in the Long Run [J]. The Journal of Finance, 1990, 45 : 157 - 174.
4Jorion, Sweeney. Mean Reversion in Real Exchange Rates: Evidence and Implications for Forecasting [ J]. Journal of International Money and Finance, 1996, 15:535 - 550.
5Arnold, Zellner. An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for AggTegation Bias[J]. Journal of the American Statistical Association, 1962, 57 : 348 - 368.
6Paul G .J. O' Connell .The Overvaluation of Purchasing Power Parity[J]. Joumat of International Economics, 1998,44 : 1 - 19.
7Kyung So Ira, M. Hashem Pesaran, Yongcheol Shin. Testing for Unit Roots in Heterogeneous Panels [ J ]. Journal of Econometrics, 2003,115: 53- 74.
8In Choi. Unit Root Tests for Panel Data [ J ]. Journal of International Money and Finance, 2001, 20:249- 272.
9G.S. Maddala, Shaowen Wu. A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test [ J ]. Oxford Bulletin of Economics and Statistics, 1999, 61:631 - 652.
10Andrew Levin, Chien-Fu Lin, Chia-Shang James Chu. Unit Root Tests in Panel Data: Asymptotic and Finite-sample Properties[J]. Journal of Econometrics, 2002,108:1 - 24.