面板模型因子结构同质性检验与企业投资环境评估  

Homogeneity Test of Grouping Factors in Panel Data Models and Evaluation of Investment Environmental Shocks

作　　者：黎娇龙 杨继生[2] 李美臻 Li Jiaolong;Yang Jisheng;Li Meizhen

机构地区：[1]中南财经政法大学统计与数学学院 [2]华中科技大学经济学院

出　　处：《统计研究》2025年第3期146-160,共15页Statistical Research

基　　金：国家自然科学基金青年项目“面板数据模型分层交叉因子结构的识别及其对民营经济政策环境评估的应用”(72003197);教育部人文社会科学研究青年基金项目“分层交叉因子面板模型与多层次多维度政策效应评估研究”(20YJC790058);国家社会科学基金青年项目“外部环境冲击与就业韧性研究”(24CJY138);中央高校基本科研项目优秀青年创新团队建设项目“中国式现代化下碳减排与居民福利分布结构变迁研究”(2722024BY025)。

摘　　要：不同群组受到的政策环境冲击是否相同,是破除隐性壁垒优化政策环境的重要依据。本文基于渐进弱因子思想,提出因子同质异质性(FHH)检验来识别不同群组冲击因子之间是否具有同质性。该检验的基本思想为,若两组因子同质,则将一组因子用另一组因子进行替换后,残差中因子个数为0的概率趋于1;反之,残差中因子个数为0的概率趋于0。蒙特卡洛仿真实验表明,FHH检验可以有效识别不同群组因子之间的同质与异质性,并适用于扰动项存在异方差、自相关或弱截面相关等情形。将FHH检验应用于企业宏观投资环境的评估,结果发现高新技术企业和其他企业受到的主要环境冲击趋势是一致的,均在2011年后呈现下行趋势;但高新技术企业还受到特有的、持续上行的环境冲击。本文为识别因子的分组结构及评估群组间政策环境冲击及其空间溢出效应提供有效的分析工具。Whether the policy shocks on different groups is homogenous or not is important for eliminating hidden barriers and optimizing the policy environment.This paper proposes Factor Homogeneity and Heterogeneity(FHH)test based on asymptotically weak factor to identify whether the latent factors are homogeneous between different groups.The basic idea of FHH test is that if the latent factors between two groups are homogeneous,then there are only asymptotically weak factors left in the residual after we replace the latent factors in one group with factors in the other group.That is,the probability that the number of factors in the replaced residual is 0 tends to 1.Otherwise,the probability that the number of factors in the replaced residual is 0 tends to 0.Monte Carlo simulation shows that FHH test can effectively identify the homogeneity and heterogeneity between different group factors.Moreover,the test is applicable to the case where the disturbance term has heteroscedasticity,autocorrelation or weak cross-sectional correlation.Finally,the FHH test is applied to evaluate enterprise investment environmental shocks.It is found that the main impacts of macro investment environmental shocks on high-tech enterprises and other enterprises are homogeneous,both of which show a downward trend since 2011.Besides,high-tech enterprises are also affected by unique and continuous upward environmental shocks.This paper provides an effective method for identifying the structure of grouping factors as well as evaluating policy shocks and its spillover effects among different groups.

关 键 词：渐进弱因子 同质性检验 投资环境评估 

分 类 号：F064.1[经济管理—政治经济学]