关键词: :动态平行数据模型, 固定效应模型, χ2统计量

Abstract: The properties of large sample of the following AR(1) datagenerating process of the time series data yt=α+ρyt-1+εt, t=1,2,…T, εt～i•i•d(0,σ2) are generalized to dynamic panel data model . The proof of F statistic of model's setup in fixedeffect model are conducted and given.

Key words: …T.(1) , t=1, …N, t-1+μi+viti=1, χ2statistic yit=ρyi, fixedeffect model, dynamic panel data model