统计研究
統計研究
통계연구
Statistical Research
2014年
9期
91~96
,共null页
拉格朗日乘数 可混合性检验 固定效应
拉格朗日乘數 可混閤性檢驗 固定效應
랍격랑일승수 가혼합성검험 고정효응
Lagrange Multipliers; Poolability Test; Fixed Effects
对固定效应模型,本文基于拉格朗日乘数（LM）原理提出了一种新的可混合性检验.不同于已有的LM型可混合性检验,这里使用每个截面个体的LM统计量构建可混合性检验统计量.数理分析表明,本文所提出的方法有着渐进正态性,对于扰动项的异方差和非正态均稳健,且与PY检验（Pesaran＆Yamagata,2008）渐近等价.Monte Carlo模拟实验表明,相对于PY检验及另外两种LM型的可混合性检验,对于不同大小的（N,T）,本文提出的方法有着良好的水平表现和更优越的检验势.
對固定效應模型,本文基于拉格朗日乘數（LM）原理提齣瞭一種新的可混閤性檢驗.不同于已有的LM型可混閤性檢驗,這裏使用每箇截麵箇體的LM統計量構建可混閤性檢驗統計量.數理分析錶明,本文所提齣的方法有著漸進正態性,對于擾動項的異方差和非正態均穩健,且與PY檢驗（Pesaran＆Yamagata,2008）漸近等價.Monte Carlo模擬實驗錶明,相對于PY檢驗及另外兩種LM型的可混閤性檢驗,對于不同大小的（N,T）,本文提齣的方法有著良好的水平錶現和更優越的檢驗勢.
대고정효응모형,본문기우랍격랑일승수（LM）원리제출료일충신적가혼합성검험.불동우이유적LM형가혼합성검험,저리사용매개절면개체적LM통계량구건가혼합성검험통계량.수리분석표명,본문소제출적방법유착점진정태성,대우우동항적이방차화비정태균은건,차여PY검험（Pesaran＆Yamagata,2008）점근등개.Monte Carlo모의실험표명,상대우PY검험급령외량충LM형적가혼합성검험,대우불동대소적（N,T）,본문제출적방법유착량호적수평표현화경우월적검험세.
This paper proposes a new poolability test based on lagrange multiplier （LM） principle. Different from existing LM type of poolability test, we construct a new test statistic based on individual ]agrange multipliers. The new test is mathematically proved to be asymptotical normality and to be robust to the errors＇ Heteroscedasticity as well as non- normality. Meanwhile, it is also proved to be equivalent with the PY Test （Pesaran ＆Yamagata, 2008）. Through Monte Carlo simulation comparing with the PY test and the other two type of LM poolability tests, it is found that the proposed test performs well in size and better in power in various combinations of N and T.
