| 陈永伟,张策,王夏华.一种估计和检验排序模型中结构变化的方法及应用[J].数量经济技术经济研究,2017,(8):120-136 |
| 一种估计和检验排序模型中结构变化的方法及应用 |
| An Approach of Testing and Estimating the Structural Change in Ordered Response Model and its Application |
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| 中文关键词: 平滑转移 排序变量 极大似然 幸福 |
| 英文关键词: Smooth Transition Ordinal Response Variable Maximum Likelihood Happiness |
| 基金项目:本文受教育部人文社科基金、教育部留学回国人员科研启动基金项目资助。 |
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| 中文摘要: |
| 研究目标：给出一种估计和检验排序模型中结构变化的方法。研究方法：在排序模型中引入平滑转换函数来描述结构变化，在此基础上构建拉格朗日乘子统计量检验模型中的结构变化，并使用极大似然方法估计模型。研究发现：拉格朗日乘子统计量具有标准的渐近卡方分布，并且该统计量对误差项的不同分布形式具有较好的稳健性；极大似然估计量具有一致性和渐近正态性；应用本文的方法分析居民收入和幸福关系，发现收入对幸福的影响存在显著的非线性结构变化特征，当收入增长超过社会收入分布的80%分位数时，收入对幸福的作用会减弱。研究创新：提出了一种新的并且是比较简便的估计和检验排序模型中结构变化的方法。研究价值：这种新的方法可以广泛应用于主观评价问题中的结构变化分析。 |
| 英文摘要: |
| Research Objectives：This paper intends to propose an approach of estimating and testing the structural change in ordered response model. Research Methods：By introducing a smooth transition function to characterize the structural change in ordered model, we construct the Lagrange Multiplier (LM) statistic to test whether the ordered model contains a structural change, then use the maximum likelihood procedure to estimate this model. Research Findings：The LM statistic has an asymptotic property of chi-square distribution and good robustness with the diverse distributions of disturbance; the maximum likelihood estimators have consistency and asymptotic normality; applying our method to the relationship between the subjective well-being and income, we find that the impact of income on happiness has a significant nonlinear structural feature. As the increase of income exceeds the 80th percentile of the social income distribution, the effect of income on happiness will weaken. Research Innovations：A new and convenient approach has been proposed to estimate and test the structural change in ordered response model. Research Value：This new approach can be generally applied to analyses the structural change in the field of subjective evaluation. |
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