面板数据模型及应用研究

信息技术的发展日益加快，传统的数据模型逐渐被淘汰。面板模型已成为金融数据分析的主要工具，对面板数据模型进行研究有助于解决实际经济问题。面板数据模型中，应用最广泛的是异方差面板数据模型和非平稳面板数据模型。本文通过对非平稳面板数据模型进行理论研究，并结合贵州茅台股票指数和大盘指数进行实例分析，得出贵州茅台比与上证指数存在差异且强于上证指数的结论。通过对异方差模型进行理论研究，并利用异方差模型对股票市场中的银行板进行实例分析，得出银行板块股票呈现走弱的特征。通过对面板数据模型，可以解释经济变量间的相关关系，对计量经济学的发展有重要意义。

关键词：面板数据；异方差模型；非平稳模型；最小二分法；Hausman检验

Analysic and Appication of Panel Date Model

Abstract: Quickening the development of information technology, the traditional data model to be being washed out gradually. Panel model has become the main tool of financial data analysis, the study of panel data model helps to solve the problem of the real economy. Panel data model, the most widely used is heteroscedastic panel data model and nonstationary panel data model. Based on the theoretical research on nonstationary panel data model, and combining the guizhou maotai shares index and market index is analyzed, concluded that guizhou moutai differences than with the Shanghai composite index and stronger than the conclusion of the Shanghai composite index. Through the study of the theoretical research of heteroscedastic model, and use the heteroscedastic model to analyze a bank board of the stock market, it is concluded that the bank stocks has a weaker characteristics. Based on the panel data model, explains the relevant relationship between economic variables, has important significance to the development of econometrics.

Key words:  Panel Date; Heteroscedastic model; Non-stationary model; Minimum Dichotomy; Hausman Inspect

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