【摘要】 本文主要讨论了非参数固定效应Panel data模型的估计与检验问题,首先我们利用Profile最小二乘方法得到了固定效应与非参数部分的估计;接着基于比较原假设与备择假设下模型拟合的残差平方和的思想针对固定效应的检验问题构造了检验统计量,并给出了计算检验p-值的F分布逼近法。更多还原

【Abstract】 This paper is concerned with the estimation and testing of a nonparametric fixed-effects panel data model.We first construct estimators of the fixed effects and nonparametric function by profile least-squares approach.Then we propose a test statistic which is based on comparing the residual sum of squares under null and alternative hypothesis in the problem of testing fixed effects.For computational consideration in practice,a method to approximate the p-value is derived by employing the F distribution approximation.更多还原