Panel数据模型中回归系数的广义p值检验  

Generalized p Value Test for Regression Coeffcients in Panel Data Model

作　　者：程靖[1,2] 王松桂[3] 岳荣先[1] 

机构地区：[1]上海师范大学数理信息学院,上海200234 [2]巢湖学院数学系,安徽238000 [3]北京工业大学应用数理学院,北京100022

出　　处：《工程数学学报》2009年第5期836-844,共9页Chinese Journal of Engineering Mathematics

基　　金：国家自然科学基金(10671129);教育部高校博士点专项基金(20060270002)

摘　　要：利用广义p值和广义置信区域的概念对含有三个随机效应的Panel数据模型中回归系数的假设检验问题建立了精确检验,构造了回归系数的几个广义置信区域;讨论了本文所构造的检验和置信区域在尺度变换下的不变性;对这几种检验的功效和置信区域的覆盖率给出了数值模拟结果。Some new exact tests and confidence regions of regression coeffcients in the Panel data model with three random effects are established by using the concepts of generalized p value and generalized confidence interval. Invariance of these exact tests and confidence regions under the scale transformation are also discussed in the paper. The powers of these tests and coverage probabilities of these confidence regions are obtained through numerical simulations.

关 键 词：Panel数据模型 随机效应 广义P值 广义置信区域 回归系数 

分 类 号：O212.1[理学—概率论与数理统计]