基于分位数自适应LASSO方法线性面板模型的变点估计Change Point Estimation in Linear Panel Model Via Quantile Adaptive LASSO Method
陈小红,齐培艳
摘要(Abstract)：
采用分位数自适应LASSO方法针对线性面板数据模型中的变点估计问题进行了研究，给出了变点位置、个数及模型参数的估计，并推导了该方法下变点个数估计及参数估计的一致性。数值模拟验证了两种误差分布下分位数自适应LASSO方法的估计性能优于分位数LASSO方法；最后通过应用居民消费价格总指数数据说明了分位数自适应LASSO方法的有效性。
关键词(KeyWords)： 分位数自适应LASSO方法;线性面板模型;变点估计
基金项目(Foundation): 山西省基础研究计划(202103021224274);; 山西省社会经济统计科研课题(KY[2021]145)
作者(Author): 陈小红,齐培艳
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