全新正版 面板数据模型中的高维检验研究 魏杰 9787513656771 中国经济
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作者魏杰
出版社中国经济
ISBN9787513656771
出版时间2019-07
装帧其他
开本其他
定价68元
货号30693666
上书时间2023-05-13
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目录
Contents
Chapter 1 Introduction 1
1.1 Introduction ...................... 1
Chapter 2 APracticalTestforStrictExogeneityinLin-earPanelDataModelswithFixedE.ects5
2.1 Introduction ...................... 5
2.2 Thehypothesis..................... 8
2.3 Theteststatistic .................... 11
2.4 The asymptotic properties of the test statistic . . . 14
2.5 MonteCarlosimulations ............... 19
2.5.1 Data generating processes . . . . . . . . . . 20
2.5.2 Simulationresults............... 21
2.6 An application to agricultural production . . . . . 23
2.7 Conclusions ...................... 26
2.8 Appendix........................ 28
Chapter 3 ARobustTestofSlopeHomogeneityinPanelDataModelswithPowerEnhancement35
3.1 Introduction ...................... 35
3.2 Themodelandestimation .............. 41
3.2.1 ThepanelARDLmodel . . . . . . . . . . . 41
3.2.2 TheCCErepresentation . . . . . . . . . . . 43
3.2.3 Estimation ................... 47
3.3 Testing ......................... 49
3.3.1 The hypothesis and asymptotic distribution ofourteststatistic .............. 49
3.3.2 A bootstrap version of our test . . . . . . . . 55
3.4 PowerEnhancement.................. 57
3.4.1 The composed test statistic . . . . . . . . . . 57
3.4.2 Asymptotic properties of PE . . . . . . . . . 59
3.5 Simulations....................... 64
3.5.1 DataGeneratingProcess . . . . . . . . . . . 64
3.5.2 Findings .................... 68
3.6 EmpiricalApplication................. 73
3.7 Conclusion ....................... 79
2
3.8 Proofsformaintheorems............... 85
3.9 TechnicalLemmas................... 118 Chapter4SemiparametricEstimationandSpeci.cationTestingofDynamicPanelCountDataModels133
4.1 Introduction ...................... 133
4.2 Estimation of semiparametric panel countdatamodels ................... 140
4.2.1 Sieve Minimum Distance Estimation . . . . 141
4.2.2 Kernel estimation based on a nonlinear integralequation ................ 146
4.3 Asymptoticproperties ................ 152
4.3.1 Asymptotic properties for the SMD estimator152
4.3.2 Asymptotic properties for the local smoothing estimator of g().............. 157
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4.4 A speci.cation test for the linear function form of g () ........................... 160
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4.4.1 Hypotheses................... 160
4.4.2 The test statistic and asymptotic properties 162
4.4.3 A bootstrap version of the test . . . . . . . . 166
3
4.5 MonteCarlosimulations ............... 167
4.5.1 Data generating processes and implemen
tation ...................... 168
4.5.2 Simulationresults............... 170
4.6 Empiricalapplication ................. 174
4.6.1 Data and implementation . . . . . . . . . . 177
4.6.2 Estimation and testing results . . . . . . . . 178
4.7 Conclusion ....................... 183
4.8 Description of variables in empirical study . . . . . 187
4.9 Proofofmainresults ................. 189
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