二元选择面板模型的设定检验

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1 曹征 已出版文章查询
曹征
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2 黎实 已出版文章查询
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1西南财经大学经济数学学院数理金融研究所

2西南财经大学统计学院


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本文将RESET检验扩展到二元选择面板数据模型的设定,考察了固定效应Probit模型和Logit模型的设定检验,包括异方差、遗漏变量和分布误设的检验.模拟结果表明Logit模型的RESET设定检验显示良好的水平和功效,而Probit模型的RESET检验可能由于估计方法的选择导致在某些方面的功效表现不好.但总体说来,在二元选择面板数据模型的设定检验上,RESET检验仍然是一个较好的选择.

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DOI: http://dx.doi.org/10.3969/j.issn.1002-4565.2012.07.014

语种: 中文   

基金感谢国家自然科学基金(71071130)

关键词二元选择 面板数据 模型设定 RESET检验


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