网站首页  学院概况  师资队伍  本科生教育  研究生教育  科学研究  党委专栏  学生活动 
当前位置: 网站首页 > 学术讲座 > 正文

Statistic inference for multivariate semi-varying coefficient panel data model with unobservable effects

发布时间:2018年05月10日 00:00   浏览次数:
报告人 胡雪梅教授 年月 2018-05
11
  • 报告人: 胡雪梅教授

  • 报告人单位: 重庆工商大学数学与统计学院

  • 报告地址: 数学学院西109

  • 报告时间: 2018年5月11日(周五)上午10:00-11:00

  • 主题摘要:

We study a semi-varying coefficient panel data model with unobserved individual effects, where all the covariates are high-dimensional variables. Based on multivariate local linear fitting, the transformation technique and the profile likelihood method, we establish semi-parametric fixed effects estimators, semi-parametric random effects estimators, and their asymptotic properties.We also introduce a test for discriminating between a semi-varying coefficient random effects panel data model and a semi-varying coefficient fixed effects panel data model. The critical values are estimated by a bootstrap procedure. Monte Carlo studies exhibit the finite-sample performance of the proposed estimators and test statistics. Simulation results show that the methods perform well for moderate sample sizes. Finally, we analyze the cigarette consumption panel data from 46 American states covering the period 1963-1992.

关闭

Copyright © 2018四川大学数学学院版权所有
 地址:成都市一环路南一段24号
电话:028-85412720