Testing For Individual Effects In Panel Data EV Models

The panel data model has been widely used in economics,medicine,sociology and other fields.It is a research hotspot in the statistics field.This paper studies the problem of the existence test of individual effects for two types of panel data EV models.The research work mainly includes the following two aspects:1.For the linear panel data EV model,the hypothesis testing problem for the existence of individual effects in the model is studied.First,the rectified least squares estimation and constraint estimation of unknown parameters of interest in the model are given,and its asymptotic distribution is discussed.Secondly,the test statistic is constructed by using the sum of squared residuals under the original hypothesis and the alternative hypothesis,and it is proved that the asymptotic distribution of the test statistic is a normal distribution.On this basis,an approximate test method is proposed for the existence of individual effects in the model.Finally,numerical simulation studies of finite samples show that the test method is effective.2.For the semi-parametric variable coefficient panel data EV model,the problem of hypothesis testing for the existence of individual effects in the model is studied.First,a two-step estimation of the revising least squares estimation of the parameters in the model and the variable coefficients part is constructed.And discussed its asymptotic distribution.Secondly,hypothesis tests were carried out on the existence of individual effects.Based on the Lagrangian multiplier test,the test statistics were constructed.It proves the asymptotic property of the given estimate under certain regular conditions,and the asymptotic distribution of the test statistic.Finally,through the numerical simulation study of finite samples,the superiority of the given estimate and the validity of the given test method are verified.