具有同质性非参数时间趋势的动态面板模型的估计

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摘要一般的动态面板计量模型只考虑个体效应，如若考虑时间效应，那么通常都采用参数设定。文章将时间趋势的设定非参数化，并假定个体的时间趋势函数相同，提出一种半参数动态面板模型，同时为这种模型提供了一种估计方法。并应用此模型和估计方法对一组日历期权真实数据进行了验证。

作者吴尚童光荣

机构地区武汉大学经济与管理学院

出处《统计与决策》 CSSCI 北大核心 2014年第21期26-28,共3页 Statistics & Decision

关键词非参数时间趋势半参数回归动态面板轮廓似然法日历期权

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统计与决策

2014年第21期

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