PanelData模型设定的新思路固定效应与随机效应的统一.pdfVIP

# 148 # 5 6 2006 6 ¹ P anel Dat a 模型设定的新思路 ) ) ) 固定效应与随机效应的统一 1、2 2 ( 11 ; 21 ) = Panel Data , (one2way) (two2way) 。, , ( one2way) (two2way) , 。, Panel Data 。 Panel Data F2241 0 A The New Idea of Panel Dat a M odel Ar st ract : The debate between fixed effect and random effect has been ha nting in Panel Data analysis since its origin1 Disc sses afterwar ds which try to make the difference are clear on behalf of the involved applied resear cher s, b t the distinc2 tion still baffles the followers1 In this paper we propose a new approach to specify the panel data model which makes both fixed effect and random effect as its special cases, and also, the hierarchy among one2way and two2way is r evealed clear ly n2 der o r appr oach1 The most important implication is that it is possible to proceed the analysis of panel data model in a nified framework1 Key words: Panel Data model, Fixed effect; Random Effect; Do ble Effect; One2way Model, Two2way Model, General Model Panel Data ( 又称 / 平行数据0 或 / 面板数据0) 是指同时融合时间和个体双重维度的 数据结构。而Panel Data 模 的设定和估计也均是由对时间与个体异质性结构的假设与分 析展开的。其模 的一般形式为: ¹ 本文得到国家社科基金项目资助。 Panel Data # 149 # c it it it y = X B+ u i= 1, , , N; t= 1, , , T 其中, N 为截面个数 (或个体个数) , T 为每一个体对应的时间长度, uit 为误差成分。 由于Panel Data 模 拥有能够控制与刻画个体异质性、减小变量之间的多重共线性、增大 自由度、提供更多信息以及利于进行动态分析与微观个体分析等优势 (H siao, 1985、1986; Klevmarken, 1989;