Panel Data模型设定的新思路——固定效应与随机效应的统一被引量：9

The New Idea of Panel Data Model

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摘要经典PanelData模型研究中一直存在着固定效应与随机效应的判断与争论问题,这种模型设定形式的不准确常常导致模型参数估计的无效性以及一维(one-way)与二维(two-way)误差成分模型的混淆。在此,本文提出建立一种新的同时囊括随机与固定两种效应的误差成分一般模型,其中一维(one-way)情况的模型仅为二维(two-way)模型的特例模型,单一的随机效应或固定效应模型亦为其特殊情况的一种。在这种一般误差成分模型的基础上,我们力图将有关PanelData模型的讨论纳入到一个更加一般和统一的分析构架中予以研究。 The debate between fixed effect and random effect has been haunting in Panel Data analysis since its origin. Discusses afterwards which try to make the difference are clear on behalf of the involved applied researchers, but the distinction still baffles the followers. In this paper we propose a new approach to specify the panel data model which makes both fixed effect and random effect as its special cases, and also, the hierarchy among one-way and two-way is revealed clearly under our approach. The most important implication is that it is possible to proceed the analysis of panel data model in a unified framework.

作者张红星贾彦东

机构地区云南财贸学院西南财经大学统计学院

出处《数量经济技术经济研究》 CSSCI 北大核心 2006年第6期148-154,共7页 Journal of Quantitative & Technological Economics

基金国家社科基金项目资助。

关键词 PANEL DATA模型方差成分一般模型随机效应固定效应 Panel Data model, Fixed effect Random Effect Double Effect One-way Model, Two-way Model, General Model

分类号 F224.0 [经济管理—国民经济]

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