摘要
对时间序列模型的结构变化进行检测和建模是学者们关注的热点。虽然结构变化面板模型在经济和金融领域的应用越来越重要,但是对该模型进行估计及检验的研究并不多。文章介绍了结构变化的参数和非参数面板模型方法的主要研究成果,包括阈值面板模型、面板光滑转移模型、非参数时变系数面板模型、半参数趋势面板模型的参数估计及假设检验,并对结构变化面板模型的研究进行了展望。
Detecting and modeling the structural changes of time series models is the focus of scholars’ attention. Although the panel models with structural changes are becoming more and more important in the field of economy and finance, there are few researches on the estimation and test of this model. This paper introduces the main research results of parametric and non-parametric panel models of structural changes, including the parameter estimation and hypothesis testing of threshold panel model,smooth transition panel model, non-parametric time-varying coefficient panel model and semi-parametric trend panel model. The paper also presents the prospect of researches on panel models with structural changes.
作者
殷亮
王维国
Yin Liang;Wang Weiguo(School of Science,Dalian Minzu University,Dalian Liaoning 116600,China;School of Economics,Dongbei University of Finance and Economics,Dalian Liaoning 116025,China)
出处
《统计与决策》
CSSCI
北大核心
2021年第18期5-9,共5页
Statistics & Decision
基金
国家自然科学基金资助项目(71773012)。
关键词
结构突变
光滑结构变化
阈值面板模型
半参数趋势面板模型
structural mutation
smooth structural changes
threshold panel model
semi-parametric trend panel model
