Methodology And Application Of Panel Data Model With The Interactive Effects

The individual effects and the time effects have been introduced into the traditional panel data model through the form of the addition, in this way individual heterogeneities and time effects inalterability are reflected. Bai(2009) introduced the product terms of the individual effects and time effects into panel models to get panel data model with interactive effects. It can capture the different sensitivity of the individual to the common factors through the interaction term. Recently, panel data model with interactive effects in the theory and application of econometric studies had been paid more and more attention. But the present literatures have researched on the nonlinear, single equation model with two dimension data structure. Based on the two dimension data structure, labor flux、 capital flows and trade contracts between the regions do not research. The changes in economic variables do not reflect based on the linear theory. The dynamic response and feedback mechanism between the variables do not reflect based on the single equations. Therefore, based on the comprehensive analysis of the current literature, panel data model with interactive effects are modified or developed.Firstly, considering the dynamic adjustment of economic variables may be transformed under different economic environment. We develop the linear model with nonlinear smooth transition regime. To the static model, we propose the nonlinear iterated OLS estimators and construct the nonlinear iterated GMM estimators for the dynamic model. The two kinds of estimators have consistency. The simulations show that the finite sample properties outperform well.Secondly, in view of the dynamic responses and feedback mechanisms between the variables do not reflect based on the single equations. The interactive effects are introduced into the panel data structure VAR model. The parameter estimation methods and estimation procedures are discussed in detail.Again, this paper constructs a three-dimensional panel data model with unobserved multiple interactive effects, we propose an iterated OLS approach and an iterated GMM approach to estimate the static and dynamic model separately. The estimation results show that both estimators are consistent. The simulation procedures show that the finite sample properties of the estimators perform well.As the examples of empirical study, the three economic hot issues are discussed, including regional imbalance, self energizing mechanism and spillover effect of fiscal expenditure; population structure, credit scale and dynamics of estate price; economic-geography segmentation and urban-rural industrial transfer.Firstly, this paper constructs the nonlinear smooth transition dynamic panel model with interactive effects, so as to evaluate the secular trend influence of population structure to house price during the transition morphology of social economy in China, and research the effectiveness and applicability of monetary tools. The empirical analysis shows that decreasing in youngster dependency ratio has significantly long-term inhibition in China. The inhibition caused rising in the elderly dependency ratio in the eastern regions has began to appear, But in the middle regions, the rising in the elderly dependency ratio temporarily pushes up the house price. With credit expansion, the feature of speculation and real estate bubble has begun to protrude during the period from2004-2007in eastern regions. After2009, speculative demand has shifted to the western part of China. The character of speculation is the least evident in middle areas. House price has the most sensitive to interest in eastern areas, approximate unitary elasticity. The elasticity is about0.5in western regions, the most insensitive in middle areas. The inertial of estate price gradually weakens from east to west.Secondly, this paper creates SVAR model with interactive effects and effective estimation procedure, what’s more, deeply analyses the dynamic self impelling mechanism-. spillover effect of fiscal expenditure to regional economic efficiency, and regulating function to regional balanced development. The empirical results show that the local fiscal expenditure has significant self energizing mechanism、spillover effect to economic efficiency and regulation function to regional balanced development. But, the spillover effect is more obvious in the central and western regions, which runs counter to predominant trend of experience. Furthermore, different regions have various sensitive to central fiscal expenditure, decreasing gradually from east to west. As a result, Adjusting the proportion of fiscal revenue between central and local based on regional differences, increasing transfer payment and enhancing the autonomy of local fiscal expenditure to less developed areas are the keys to improve under-developed areas economic efficiency and achieve balanced development.At last, Based on the effect of economic-geography segmentation, this paper constructs the theoretical framework and empirical analysis model of urban-rural industrial transfer. The results show that:Among the factors that affect urban-rural industrial transfer, the industrial base is the most important determinant. Capital flows are the most guiding force, more oriented than labor mobility. Geographic segmentation effect is significantly stronger than that of income gap. During the sample period, the social environmental factors are helpful for urban-rural industrial transfer in the central and western regions, and have no significant effects on the developed regions or even blocking effects.