| 面板数据计量模型适应性的比较研究 |
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| 引用本文： | 刘莉亚,丁剑平,覃筱,代飞.面板数据计量模型适应性的比较研究[J].管理科学学报,2011,14(2):86-96. |
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| 作者姓名： | 刘莉亚 丁剑平 覃筱 代飞 |
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| 作者单位： | 刘莉亚,代飞,LIU Li-ya,DAI Fei(上海财经大学金融学院,上海,200433);丁剑平,DING Jian-ping(上海财经大学现代金融研究中心,上海,200433);覃筱,QIN Xiao(上海交通大学安泰管理学院,上海,200052) |
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| 基金项目： | 国家社会科学基金重大资助项目，国家自然科学基金青年科学基金资助项目，上海市哲学社会科学规划课题资助项目，上海财经大学211第3期资助项目 |
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| 摘 要： | 近年来在经济管理研究中采用面板数据的实证性论文日益增多,同时关于面板数据处理的理论成果也并不少见.然而,问题在于:一方面已有的关于面板数据处理的理论方法多基于无穷大样本,而现实中仅能获得有限样本;另一方面已有的实证研究成果或对面板数据不做任何特殊处理或并不说明处理方法选用的依据.基于此,按只存在个体效应,只存在时间效应...
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| 关 键 词： | 面板数据 固定个体效应 固定时间效应 聚类回归标准差系数 Fama-MacBeth方法 |
Simulation comparison on adaptability of econometrical models based on panel data |
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| LIU Li-ya,DING Jian-ping,QIN Xiao,DAI Fei.Simulation comparison on adaptability of econometrical models based on panel data[J].Journal of Management Sciences in China,2011,14(2):86-96. |
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| Authors: | LIU Li-ya DING Jian-ping QIN Xiao DAI Fei |
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| Institution: | LIU Li-ya1,DING Jian-ping2,QIN Xiao3,DAI Fei11.School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China,2.Modern Finance Research Center,3.Aetna School Management,Shanghai Jiaotong University,Shanghai 200052 |
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| Abstract: | In recent years,there are more and more empirical papers using panel data in economic and management field.At the same time,theoretical results on how to process panel data are also increasing.However,one problem is that most theoretical methodologies on panel data are based on infinite sample,but we can only get limited samples in reality;another problem is that existing papers on using panel data don't do special treatment for panel data sample or don't explain why adopting their processing methodology.Th... |
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| Keywords: | panel data fixed individual effect fixed time effect clustering regression standard-error coefficient Fama-MacBeth methodology |
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