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| 摘要: |
| 本文对面板数据模型下变点是否存在的检验问题展开了研究. 我们首先建立了面板序贯模型和关于变点的假设检验问题,
构造了检验统计量并得到其极限分布. 随后根据相关理论结果, 我们提出一种渐近检验法并进行了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上还是
数值模拟上我们提出的渐近检验法均为一种优良的检验估计方法. |
| 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:国家自然科学基金项目（面上项目，重点项目，重大项目);国家自然科学基金青年基金项目; 华侨大学中青年教师科技创新计划基金项目 |
|
| The asymptotic method of sequential change-point in panel data |
|
chenzhuoheng
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| Abstract: |
| This paper studies the statistical inference of change-point for panel data. Firstly,
we establish a sequential panel data model and the hypothetical test for change- point, then the
test statistic is constructed and the limiting distribution is obtained. Secondly, according to the
theory results, we propose an asymptotic method and 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. The theory results and the Monte-Carlo simulation both
show that the asymptotic method we obtained is an excellent test method. |
| Key words: Change-point Panel data Sequential detection Asymptotic method. |
