固定效应部分线性变系数面板模型的快速有效估计

本文将最小二乘支持向量机(LSSVM)和二次推断函数法(QIF)相结合,为个体内具有相关结构的固定效应部分线性变系数面板模型提供了一种新的快速估计方法;在一定的正则条件下,论证了参数估计量的渐近正态性和非参数估计量的收敛速度;采用Monte Carlo模拟考察了估计方法在有限样本下的表现并将估计技术应用于现实数据分析。该方法不仅保证了估计的有效性和统计推断力,而且程序运行速度得到较大幅度提升。

Fast Efficient Estimators of Partially Linear Varying Coefficient Panel Model with Fixed Effects

This paper provides fast efficient estimators for a partially linear varying coefficient panel model with fixed effects and relevant structures among units by conflating the least square support vector machine (LSSVM) and the quadratic inference function method (QIF). Then an asymptotic normality of the parameter estimators and a convergence rate of the non-parameter estimators are derived in some regular conditions. At the end, a finite sample performance of the proposed method is observed via Monte Carlo simulations, and a real data set is applied to this proposed estimation technique. It is found that the efficiency of estimators and statistical inference ability are ensured and moreover the running speed of the program is greatly enhanced.