面板数据交互固定效应模型的方差分量检验

研究了面板数据交互固定效应模型中方差分量的检验问题.首先依据模型中误差项的估计构造辅助回归模型,然后根据该辅助回归构造检验统计量,对模型中的异方差性进行检验.进一步,通过构造不同的辅助回归模型和检验统计量可以判别异方差的来源.在一定正则条件下,得到了检验统计量在原假设和备择假设下的渐近分布,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,说明所提检验方法是有效的.

Testing for Heteroskedasticity in Panel Data Models with Interactive Fixed Effects

We focus on the testing variance components in panel data model with interactive fixed effects. For the problem of testing heteroskedasticity, we first propose a test statistic based on an artificial regression constructed by the residual estimation. We further propose another test statistic based on the different artificial regression in order to decide the source of heteroskedasticity. Under both the null hypothesis and the alternatives, we establish the asymptotic distributions of the proposed test statistics under by assuming some regularity conditions, and we further show that the proposed tests are distribution free. Subsequently simulations suggest that the proposed tests perform well.