趋势固定效应函数系数面板模型的估计与应用研究  

Estimation and Application of Functional Coefficient Trending Panel Data Model with Fixed Effects

作　　者：刘汉中 刘可 Liu Hanzhong;Liu Ke

机构地区：[1]广州大学经济与统计学院

出　　处：《统计研究》2024年第8期150-160,共11页Statistical Research

基　　金：国家社会科学基金重点项目“内生性资源错配的形成机理及其对全要素生产率的影响研究”(18AJL004);广州大学研究生创新能力培养资助计划“变系数面板模型理论方法及应用研究”(2021GDJC-D01)。

摘　　要：传统固定效应变系数面板模型因在捕捉截面个体的异质性方面具有显著优势而被广泛应用于经济分析中,但其劣势在于忽略了不同截面个体之间的共同性。为弥补上述不足,本文构建了趋势固定效应函数系数面板模型,从理论上分析新模型相对于传统固定效应变系数面板模型的优越性,在此基础上针对该模型提出参数的两步估计法,并推导估计量的渐近性质。一系列蒙特卡罗模拟结果表明,本文构建的模型比传统模型具有明显优势,且提出的估计方法具有良好的有限样本性质。将模型和估计方法应用于外商直接投资(FDI)对地区经济增长影响的研究,结果表明FDI对经济增长的影响随着地区初始经济发展水平的变化而变化,即FDI对经济增长具有非线性动态偏效应。The traditional variable coefficient panel model with fixed effects is widely used in economic analysis because of its advantages in capturing the heterogeneity of cross-sectional units,but it ignores the commonality between different units.In order to make up the shortcomings,this paper builds a functional coefficient trending panel data model with fixed effects to theoretically analyze the advantages of the new model over the traditional variable coefficient panel model,and proposes a two-step estimation method.The asymptotic properties of the estimator are established.A series of Monte Carlo simulation studies show that the model constructed in this paper has the advantage over the traditional model,and the estimation method has good finite sample properties.Then we apply the model to study the impact of Foreign Direct Investment(FDI)on regional economic growth,showing that the impact of FDI on the economic growth changes with the different initial economic levels,indicating that FDI has a nonlinear dynamic partial effect on economic growth.

关 键 词：固定效应变系数模型 固定效应函数系数面板模型 两步估计法 

分 类 号：F224.0[经济管理—国民经济]