部分结构突变的线性面板模型的变点估计

Estimating the change-point in linear panel model with partial structure change

研究带有单个公共变点的部分结构突变的线性面板模型中的变点估计问题.采用最小二乘方法估计线性参数,通过最小化残差平方和估计公共变点,证明了变点估计量的相合性,并通过蒙特卡罗模拟验证了理论的正确性.

This paper works on the problem of estimating a single common change-point in linear panel model with a partial structure change. The least-squares method is used to estimate the linear parameters and the common change-point is obtained by minimizing the sum of squares of residuals.We get the consistency of change-point estimator. The correctness of our theory is verified by Monte Carlo simulation.