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考虑截面相关条件下的异质性面板数据协整回归模型的估计 被引量:5
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作者 林谦 黄浩 黎实 《统计研究》 CSSCI 北大核心 2010年第9期103-108,共6页
面板数据的非平稳分析是近年来迅速发展的方向,其中考虑截面相关情形下面板数据的协整分析的发展备受关注。本文在Bai(2006)考虑截面相关条件下面板数据协整回归模型估计的基础上考虑被解释变量和解释变量均截面相关及截面长期协方差矩... 面板数据的非平稳分析是近年来迅速发展的方向,其中考虑截面相关情形下面板数据的协整分析的发展备受关注。本文在Bai(2006)考虑截面相关条件下面板数据协整回归模型估计的基础上考虑被解释变量和解释变量均截面相关及截面长期协方差矩阵不相同即异质性时的情形,并试图通过Monte Carlo模拟讨论其小样本性质。并且由于截面间长期协方差矩阵异质性的存在,本文还针对两变量的协整系统提出了系数检验的组间均值t统计量。 展开更多
关键词 面板数据 协整回归 截面相关 长期协方差矩阵 方差
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Geomagnetic jerk extraction based on the covariance matrix 被引量:3
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作者 Feng Yan Jiang Yun-Shan +3 位作者 Gu Jia-Lin Xu Fan Jiang Yi Liu Shuang 《Applied Geophysics》 SCIE CSCD 2019年第2期153-159,252,共8页
We normalize data from 43 Chinese observatories and select data from ten Chinese observatories with most continuous records to assess the secular variations(SVs)and geomagnetic jerks by calculating the deviations betw... We normalize data from 43 Chinese observatories and select data from ten Chinese observatories with most continuous records to assess the secular variations(SVs)and geomagnetic jerks by calculating the deviations between annual observed and CHAOS-6 model monthly means.The variations in the north,east,and vertical eigendirections are studied by using the covariance matrix of the residuals,and we find that the vertical direction is strongly affected by magnetospheric ring currents.To obtain noise-free data,we rely on the covariance matrix of the residuals to remove the noise contributions from the largest eigenvalue or vectors owing to ring currents.Finally,we compare the data from the ten Chinese observatories to seven European observatories.Clearly,the covariance matrix method can simulate the SVs of Dst,the jerk of the northward component in 2014 and that of the eastward component in 2003.5 in China are highly agree with that of Vertically downward component in Europe,compare to CHAOS-6,covariance matrix method can show more details of SVs. 展开更多
关键词 Geomagnetic field secular variation covariance matrix JERK CHAOS-6
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