面板数据交互固定效应模型的协方差矩阵检验  

Testing for Covariance Matrices in Panel Data Models with Interactive Fixed Effects

作　　者：陈冉冉[1] 李高荣 CHEN Ranran;LI Gaorong(College of Applied Sciences,Beijing University of Technology,Beijing,100124,China;Beijing Institute for Scientific and Engineering Computing,Beijing University of Technology,Beijing,100124,China;School of Statistics,Beijing Normal University,Beijing,100875,China)

机构地区：[1]北京工业大学应用数理学院,北京100124 [2]北京工业大学北京科学与工程计算研究院,北京100124 [3]北京师范大学统计学院,北京100875

出　　处：《应用概率统计》2019年第6期621-638,共18页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金面上项目(批准号:11871001、11971001);北京市自然科学基金项目(批准号:1182003);中央高校基本科研业务费专项资金(批准号:2019NTSS18)资助

摘　　要：本文研究了面板数据交互固定效应模型中协方差矩阵的检验问题.首先依据模型协方差矩阵迹的估计构造检验统计量,检验协方差矩阵是否为单位矩阵,或是单位矩阵的常数倍.然后在一定正则条件下,证明了检验统计量的渐近性质,并说明所提出的检验方法不依赖于误差分布.最后,通过模拟研究对本文的检验方法进行评价,说明所提检验方法在高维面板数据下仍然有效.In this paper,we focus on the tests for covariance matrices in panel data model with interactive fixed effects.For the problem of testing identity and sphericity of covariance matrices,we first propose test statistics based on the estimators of the trace of covariance matrices.Under both the null hypothesis and the alternatives,we establish the asymptotic distributions of the proposed test statistics under some regularity conditions,and we further show that the proposed tests are distribution free.Subsequently simulation studies suggest that the proposed tests perform well under the high dimensional panel data.

关 键 词：高维面板数据 交互固定效应模型 协方差矩阵 FROBENIUS范数 

分 类 号：O212.1[理学—概率论与数理统计]