Panel模型中的精确检验和置信区间

利用广义p-值和广义置信区间的概念,研究了Panel模型中未知参数的检验和置信区间问题.对于回归系数,分别考虑了单个情形和多个线性无关情形下的检验和置信区间问题,得到了精确检验和置信区间.对于方差分量,研究了其任意线性组合的检验和置信区间问题,建立了精确检验和置信区间.基于广义p-值和广义置信区间,获取精确检验和置信区间的方法具有计算方便、易应用于小样本问题的特点.最后,分别从理论和数值上研究了这些精确检验和置信区间的统计性质.

Exact tests and confidence intervals in panel models

Using the concepts of generalized p-value and generalized confidence interval,the testing and confidence interval problems of unknown parameters in Panel model are studied.For the regression coefficients,the testing and confidence interval problems under single and many linearly independent situations are considered,and exact tests and confidence intervals are obtained.For the variance components,the testing and confidence interval problems of its arbitrary linear combination are discussed and exact tests and confidence intervals are established.The methods of obtaining exact tests and confidence intervals have the features that are convenient to compute and easy to apply to small sample problems,based on generalized p-values and generalized confidence intervals.Finally the statistical properties of these exact tests and confidence intervals are investigated from the analytical and numerical perspectives respectively.