CAJ | 학술논문

动态面板阈模型可以刻画经济变量动态调整过程的非对称性，在实证分析中有广泛的运用，但阈值参数的引入同时增加了参数估计的困难，理论上尚有许多问题没有解决。针对此类模型，本文提出了一种简单而实用的序贯两步估计方法，首先利用格点搜索获得阈值参数的一致估计，基于该参数对数据结构进行合理划分并引入不同类型的矩条件，然后利用广义矩方法获得自回归参数的估计。理论研究与模拟结果均表明，序贯两步估计具有良好的大样本性质和有限样本表现；与现有文献的方法相比，序贯两步估计能够有效避免不同类型参数估计偏差的相互影响，减小估计量的偏差与均方根误差。
동태면판역모형가이각화경제변량동태조정과정적비대칭성，재실증분석중유엄범적운용，단역치삼수적인입동시증가료삼수고계적곤난，이론상상유허다문제몰유해결。침대차류모형，본문제출료일충간단이실용적서관량보고계방법，수선이용격점수색획득역치삼수적일치고계，기우해삼수대수거결구진행합리화분병인입불동류형적구조건，연후이용엄의구방법획득자회귀삼수적고계。이론연구여모의결과균표명，서관량보고계구유량호적대양본성질화유한양본표현；여현유문헌적방법상비，서관량보고계능구유효피면불동류형삼수고계편차적상호영향，감소고계량적편차여균방근오차。
Dynamic panel threshold model can characterize the asymmetry in the dynamic process of adjustment variables of economic, which is widely used in empirical analysis. However, the inclusion of threshold parameter increases the difficulty of parameter estimation, and leads to many unresolved problems theoretically. For this kind of model, we propose a simple but practicable two-step sequential estimation method. Firstly we make use of grid search to obtain the consistent estimator of the threshold parameter. On this basis, we can correctly split the sample and incorporate different types of moment conditions. Then we estimate the autoregressive parameter by using GMM estimation. The theoretical and simulated results demonstrate that the two-step sequential estimator enjoys good asymptotic properties and finite sample performance; compared to the existing estimators, this estimator cannot only effectively avoid the bias induced by the interaction of different types of estimators but also reduce the root mean squared error.