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《Chinese Journal of Applied Probability and Statistics》 2010-01
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Exact Tests of Variance Components in Panel Data Model

Cheng Jing1,2 Wang Songgui3 Yue Rongxian1(1Mathematics and Science College,Shanghai Normal University,Shanghai,200234)(2Department of Mathematics,Chaohu college,Chaohu,238000)(3College of Applied Sciences,Beijing University of Technology,Beijing,100022)  
In this paper,some new exact tests and confidence intervals of variance components in Panel data model with three random effects are constructed base on the concepts of generalized p value and generalized confidence interval.Invariance of these tests and confidence intervals under scale transformation is also discussed in the paper.The powers of these tests and coverage probabilities are obtained by numerical simulations.It is shown that generalized p value method is feasible and effective to resolve the hypothesis testing problems with nuisance parameters.
【Fund】: 国家自然科学基金项目(10671129);; 教育部高校博士点专项基金项目(20060270002)资助
【CateGory Index】: O212.1
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