摘要
研究目标:构建面板排序模型结构渐变的识别方法及其理论性质。研究方法:基于逻辑斯蒂函数描述结构渐变,构建拉格朗日乘子统计量检验模型中的结构渐变效应。研究发现:拉格朗日乘子统计量具有标准的卡方分布和良好的有限样本性质;所提出的结构渐变识别方法还可以扩展识别结构突变这一极端情形;将新建方法应用于中国城镇居民收入与幸福的关系识别,发现两者之间存在显著的结构渐变特征。研究创新:构建了更具适用性的面板排序模型结构渐变效应识别方法,并提高了现有方法的识别功效。研究价值:拓展了排序模型结构变化的检验与识别理论,对于主观评价类问题的结构识别具有重要的方法论意义。
Research Objectives:Developing a methodology to identify the smooth transition structure in panel ordered response models.Research Methods:Employing the logistic function to represent the smooth transition structure,an LM-type statistic has been proposed to examine the existence of such structural change.Research Findings:The LM-type statistic follows an asymptotic Chi-square distribution under several mild conditions.Monte Carlo simulations reveal that the statistic also performs well in finite samples.The proposed method can be extended to detect the structural break in panel ordered response models.Applying the new method to investigate the relationship between income and happiness,a significant smooth transition structure has been detected.Research Innovations:Developing a new and convenient approach to test the smooth transition structure in panel ordered response models and improving the testing power.Research Value:Contributing to the literature in testing the structural change in ordered response models and the proposed approach can be wildly used in the analysis of subjective evaluation problems.
作者
陈永伟
张策
Chen Yongwei;Zhang Ce(School of Economics,Zhejiang Gongshang University;School of Statistics and Mathematics,Zhongnan University of Economics and Law)
出处
《数量经济技术经济研究》
CSSCI
CSCD
北大核心
2021年第10期167-184,共18页
Journal of Quantitative & Technological Economics
基金
国家自然科学基金项目“中国收入——幸福悖论的理论解释及实证检验:基于面板排序模型的扩展及应用研究”(71773144)
教育部人文社会科学基金项目“非线性平滑转换面板排序模型的理论及应用研究”(17YJC790014)
浙江省软科学项目“浙江数字经济发展的收入分配效应研究”(2021C35046)的资助。
关键词
排序变量
固定效应
平滑转移
条件似然
Ordered Variable
Fixed Effects
Smooth Transition
Conditional Likelihood
