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具有系统性斜率变化的异质面板估计AI 解读

We analyse estimation procedures for the panel data models with heterogeneous slopes. Specifically we take into account a possible dependence between regressors and heterogeneous slope coefficients, which is referred to as systematic variation. It is shown that under relevant forms of systematic slope variations (i) the pooled OLS estimator is severely biased, (ii) Swamy’s GLS estimator is inconsistent if the number of time periods T is fixed, whereas (iii) the mean-group…

面板数据模型中斜率同质性的拉格朗日乘数型检验AI 解读

In this paper, we employ the Lagrange multiplier (LM) principle to test parameter homogeneity across cross‐section units in panel data models. The test can be seen as a generalization of the Breusch–Pagan test against random individual effects to all regression coefficients. While the original test procedure assumes a likelihood framework under normality, several useful variants of the LM test are presented to allow for non‐normality, heteroscedasticity and serially…