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| 摘要: |
| 本文研究了面板数据模型下变点是否存在的检验问题.对于面板序贯模型下的变点，利用构造的检验统计量及其极限分布的方法，获得了关于变点的一种渐近检验法.随后进行Monte-Carlo数值模拟，在模拟中对检验方法的经验检验水平、检验功效以及变点后的停时三个判断标准进行了考察.结果显示无论在理论还是数值模拟上，我们提出的渐近检验法均表现优良.推广了现有文献的关于单序列变点的序贯检验方法. |
| 关键词: 变点 面板数据 序贯检测 渐近法 |
| DOI： |
| 分类号:O212.3 |
| 基金项目:国家自然科学基金青年项目基金资助（11401227）；国家自然科学基金面上项目基金资助（11371284）；华侨大学中青年教师科技创新计划资助（ZQN-YX401）；华侨大学校级项目基金资助（600005-Z17Y0078）. |
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| THE ASYMPTOTIC METHOD OF SEQUENTIAL CHANGE-POINT IN PANEL DATA |
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CHEN Zhuo-heng,HU Yi-jun
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| Abstract: |
| In this paper, we study the statistical inference of change-point for panel data. For the change-point in a sequential panel data model, using the test statistic and the limiting distribution, we obtain an asymptotic method of change-point. Then we make a Monte-Carlo simulation, in the simulation, we investigate the effectiveness of our test method from three aspects:empirical test size, test power and average run length. Both the theory results and the Monte-Carlo simulation show that the asymptotic method we obtained is very excellent, in addition, the existing sequential method about the change-point in univariate sequence is generalized. |
| Key words: change-point panel data sequential detection asymptotic method |
