面板数据中方差渐变变点的最小二乘估计

摘要

为了研究面板数据中方差渐变变点的估计问题,首先对面板数据模型先中心化再平方,将方差渐变变点问题转化为均值渐变变点问题;其次给出转化后的均值渐变变点位置的最小二乘估计量,证明估计量的相合性并给出估计量的收敛速度;最后用蒙特卡洛模拟方法证明该方法的有效性.%In order to study the estimation problem of common gradual change point in variances of panel data,firstly,the gradual change problem in variances is transformed into the gradual change problem in means by squaring the centralized panel model.Secondly,the least squares estimator of the change in means of the transformed model is established,both the consistency and the convergence rate of the estimator are derived.Finally,the results of Monte Carlo are shown to support the argument.