关键词: 面板数据, 异质性, 变点, 隐马尔科夫模型, 贝叶斯分析

Abstract: For time-invariant unobserved heterogeneity assumption lead to censored variable bias and invalid inference problem, this paper constructed Bayesian Heterogeneous Hidden Markov Panel Model to characterize the dynamics time-varying unobserved heterogeneity between sectional individuals and diagnose the hidden changes existing in economic system environment, designed the corresponding Markov Chain Monte Carlo sampling algorithm to estimate model parameters, and analyzed the relationships between financial development and urban-rural income gap. The empirical research captured hidden changes in the long term stable relationships between financial development and urban-rural income gap, found out that regional individual unobserved heterogeneity existed dynamic time-varying characteristics. Results showed that the parameters iterative trajectory converges and the estimated error was very small, it verified the effectiveness of the Bayesian Heterogeneous Hidden Markov Panel Model.Bayesian Heterogeneous Hidden Markov Panel Model and its Application

Key words: Panel Data, Heterogeneity, Change Point, Hidden Markov Model, Bayesian Analysis