面板数据交互固定效应模型的协方差矩阵检验
Testing for Covariance Matrices in Panel Data Models with Interactive Fixed Effect
-
摘要: 本文研究了面板数据交互固定效应模型中协方差矩阵的检验问题. 首先依据模型协方差矩阵迹的估计构造检验统计量,检验协方差矩阵是否为单位矩阵, 或是单位矩阵的常数倍.然后在一定正则条件下, 证明了检验统计量的渐近性质,并说明所提出的检验方法不依赖于误差分布.最后, 通过模拟研究对本文的检验方法进行评价,说明所提检验方法在高维面板数据下仍然有效.Abstract: In this paper, we focus on the tests for covariance matrices in panel data model with interactive fixed effects. For the problem of testing identity and sphericity of covariance matrices, we first propose test statistics based on the estimators of the trace of covariance matrices. Under both the null hypothesis and the alternatives, we establish the asymptotic distributions of the proposed test statistics under some regularity conditions, and we further show that the proposed tests are distribution free. Subsequently simulation studies suggest that the proposed tests perform well under the high dimensional panel data.