二元选择面板模型的设定检验被引量：5

Specification Test for Binary Choice Panel Data Models

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摘要本文将RESET检验扩展到二元选择面板数据模型的设定,考察了固定效应Probit模型和Logit模型的设定检验,包括异方差、遗漏变量和分布误设的检验。模拟结果表明Logit模型的RESET设定检验显示良好的水平和功效,而Probit模型的RESET检验可能由于估计方法的选择导致在某些方面的功效表现不好。但总体说来,在二元选择面板数据模型的设定检验上,RESET检验仍然是一个较好的选择。 RESET test is extended to test the specification errors for binary choice panel data models,including hetetoscedasticity,variables omission and distribution specification error of panel probit models and logit models in this paper.Simulation results show that RESET test presents great power for panel logit models.For panel probit models,RESET test shows bad power in testing some specification errors.We think this may due to the estimation method for panel probit models in our RESET test.In general,RESET test is still a good choice for testing the specification errors in binary choice panel models.

作者韩本三曹征黎实

机构地区西南财经大学经济数学学院数理金融研究所西南财经大学统计学院

出处《统计研究》 CSSCI 北大核心 2012年第7期81-85,共5页 Statistical Research

基金国家自然科学基金项目“截面相关与非球形扰动条件下平稳与非平稳面板数据线性建模技术研究(71071130)” 西南财经大学“211工程”三期青年教师成长项目(211QN2011038)资助

关键词二元选择面板数据模型设定 RESET检验 Binary Choice Panel Data Model Specification RESET Test

分类号 F222.3 [经济管理—国民经济]

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