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An empirical likelihood check with varying coefficient fixed effect model with panel data
Journal of the Korean Statistical Society ( IF 0.6 ) Pub Date : 2021-06-29 , DOI: 10.1007/s42952-021-00136-2
Wanbin Li , Liugen Xue , Peixin Zhao

Semiparametric models are often used to analyze panel data for a good trade-off between parsimony and flexibility. In this paper, we investigate a fixed effect model with a possible varying coefficient component. On the basis of empirical likelihood method, the coefficient functions are estimated as well as their confidence intervals. The estimation procedures are easily implemented. An important problem of the statistical inference with the varying coefficient model is to check the constant coefficient about the regression functions. We further develop checking procedures by constructing empirical likelihood ratio statistics and establishing the Wilks theorems. Finally, some numerical simulations and a real data analysis is presented to assess the finite sample performance.



中文翻译:

具有面板数据的变系数固定效应模型的经验似然检验

半参数模型通常用于分析面板数据,以在简约性和灵活性之间取得良好的平衡。在本文中,我们研究了一个可能具有可变系数分量的固定效应模型。在经验似然法的基础上,估计系数函数及其置信区间。估算程序很容易实现。变系数模型统计推断的一个重要问题是检验回归函数的常系数。我们通过构建经验似然比统计和建立威尔克斯定理进一步开发检查程序。最后,给出了一些数值模拟和真实数据分析来评估有限样本的性能。

更新日期:2021-06-30
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