缺失数据因素增强面板回归模型的估计与检验

IF 0.7 4区 经济学 Q3 ECONOMICS Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-03-02 DOI:10.1515/snde-2022-0042
Difa Xiao, Lu Wang, Jianhong Wu
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引用次数: 0

摘要

摘要本文主要研究具有缺失数据和个体变化因素的因子增广面板回归模型。提出了斜率系数的CCEM估计量,并在一定的正则性条件下研究了它的渐近性质。此外,针对特殊误差中的序列相关性和异方差性,构造了一个联合检验统计量。在零假设下,检验统计量可以证明是渐近卡方分布的。蒙特卡罗仿真结果表明,所提出的估计器和检验统计量在有限样本中具有良好的性能。
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Estimation and testing of the factor-augmented panel regression models with missing data
Abstract This paper focuses on the factor-augmented panel regression models with missing data and individual-varying factors. A so-called CCEM estimator for the slope coefficient is proposed and its asymptotic properties are investigated under some regularity conditions. Furthermore, a joint test statistic is constructed for serial correlation and heteroscedasticity in the idiosyncratic errors. Under the null hypothesis, the test statistic can be shown to be asymptotically chi-square distributed. Monte Carlo simulation results show that the proposed estimator and test statistic have desired performance in finite samples.
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来源期刊
CiteScore
1.40
自引率
12.50%
发文量
34
期刊介绍: Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.
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