面板数据下序贯模型变点的渐近检验法  

THE ASYMPTOTIC METHOD OF SEQUENTIAL CHANGE-POINT IN PANEL DATA

作　　者：陈卓恒[1,2] 胡亦钧 CHEN Zhuo-heng;HU Yi-jun(School of Mathematical Science,Huaqiao University,Quanzhou 362021,China;School of Mathematics and Statistics,Wuhan University,Wuhan 330072,China)

机构地区：[1]华侨大学数学科学学院,福建泉州362021 [2]武汉大学数学与统计学院,湖北武汉430072

出　　处：《数学杂志》2018年第4期731-742,共12页Journal of Mathematics

基　　金：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)

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.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.

关 键 词：变点 面板数据 序贯检测 渐近法 

分 类 号：O212.3[理学—概率论与数理统计]