动态面板数据模型

小鱼儿 2023-06-15 06:49 64阅读 0赞

1、自回归面板模型。  
![在这里插入图片描述][watermark_type_ZmFuZ3poZW5naGVpdGk_shadow_10_text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L3dlaXhpbl80MTYxMTA0NQ_size_16_color_FFFFFF_t_70]  
2、含外生变量的动态面板模型  
![在这里插入图片描述][watermark_type_ZmFuZ3poZW5naGVpdGk_shadow_10_text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L3dlaXhpbl80MTYxMTA0NQ_size_16_color_FFFFFF_t_70 1]  
这里要注意的是 Y i , t − 1 Y\_\{i,t-1\} Yi,t−1和 X i , t X\_\{i,t\} Xi,t是有相关性的，所以求出来的 ρ 1 \\rho1 ρ1是有偏的。  
3、根据T与N的关系进行分类，  
![在这里插入图片描述][watermark_type_ZmFuZ3poZW5naGVpdGk_shadow_10_text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L3dlaXhpbl80MTYxMTA0NQ_size_16_color_FFFFFF_t_70 2]  
3.2、短动态面板模型  
![在这里插入图片描述][20191120200147750.png]  
可以知道 Δ Y i , t − 1 \\Delta Y\_\{i,t-1\} ΔYi,t−1和 Δ ε i t \\Delta \\varepsilon \_\{it\} Δεit存在内生性的问题。为了解决这个问题共有三种短动态面板模型。  
![在这里插入图片描述][2019112020100543.png]  
1、差分GMM  
构造方程组  
![在这里插入图片描述][20191120201716906.png]  
![在这里插入图片描述][20191120201647802.png]  
![在这里插入图片描述][20191120201759318.png]  
差分GMM的局限性：  
①  
![在这里插入图片描述][20191120201952205.png]  
②  
![在这里插入图片描述][20191120202003843.png]  
2、水平GMM  
![在这里插入图片描述][watermark_type_ZmFuZ3poZW5naGVpdGk_shadow_10_text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L3dlaXhpbl80MTYxMTA0NQ_size_16_color_FFFFFF_t_70 3]  
![在这里插入图片描述][20191120202346469.png]  
3、系统GMM模型  
![在这里插入图片描述][20191120202602864.png]  
![在这里插入图片描述][watermark_type_ZmFuZ3poZW5naGVpdGk_shadow_10_text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L3dlaXhpbl80MTYxMTA0NQ_size_16_color_FFFFFF_t_70 4]  
6、面板模型的建模步骤  
![在这里插入图片描述][watermark_type_ZmFuZ3poZW5naGVpdGk_shadow_10_text_aHR0cHM6Ly9ibG9nLmNzZG4ubmV0L3dlaXhpbl80MTYxMTA0NQ_size_16_color_FFFFFF_t_70 5]

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[20191120200147750.png]: https://img-blog.csdnimg.cn/20191120200147750.png
[2019112020100543.png]: https://img-blog.csdnimg.cn/2019112020100543.png
[20191120201716906.png]: https://img-blog.csdnimg.cn/20191120201716906.png
[20191120201647802.png]: https://img-blog.csdnimg.cn/20191120201647802.png
[20191120201759318.png]: https://img-blog.csdnimg.cn/20191120201759318.png
[20191120201952205.png]: https://img-blog.csdnimg.cn/20191120201952205.png
[20191120202003843.png]: https://img-blog.csdnimg.cn/20191120202003843.png
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[20191120202346469.png]: https://img-blog.csdnimg.cn/20191120202346469.png
[20191120202602864.png]: https://img-blog.csdnimg.cn/20191120202602864.png
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