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摘要翻译：
提出了一种新的基于修正样条基的统计方法来识别具有固定效应的面板数据模型中的线性成分。在一些温和的假设下，所提出的方法能够一致地估计潜在的回归函数，正确地选择线性分量，并有效地进行统计推断。与现有的面板模型线性度检测方法相比，我们的方法在理论上是合理的，在实际中是方便的。我们提供了一个计算算法来实现所提出的过程，以及一个基于路径的线性检测求解方法，避免了为惩罚项选择调谐参数的负担。通过Monte Carlo模拟验证了该方法的有限样本性能，其结果证实了本文的理论结果。应用于集合生产和环境库兹涅茨曲线数据也说明了在部分线性面板模型中检测线性的必要性。
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英文标题：
《Statistical Inference on Partially Linear Panel Model under Unobserved
Linearity》
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作者：
Ruiqi Liu, Ben Boukai and Zuofeng Shang
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最新提交年份：
2019
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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英文摘要：
A new statistical procedure, based on a modified spline basis, is proposed to identify the linear components in the panel data model with fixed effects. Under some mild assumptions, the proposed procedure is shown to consistently estimate the underlying regression function, correctly select the linear components, and effectively conduct the statistical inference. When compared to existing methods for detection of linearity in the panel model, our approach is demonstrated to be theoretically justified as well as practically convenient. We provide a computational algorithm that implements the proposed procedure along with a path-based solution method for linearity detection, which avoids the burden of selecting the tuning parameter for the penalty term. Monte Carlo simulations are conducted to examine the finite sample performance of our proposed procedure with detailed findings that confirm our theoretical results in the paper. Applications to Aggregate Production and Environmental Kuznets Curve data also illustrate the necessity for detecting linearity in the partially linear panel model.
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PDF链接：
https://arxiv.org/pdf/1911.08830
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