The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
권호 표지

A Comparison of Predictors in a Panel Data Regression Model

패널회귀모형에서 예측량의 효율에 관한 비교

  • Published : 2001.03.01
Download PDF
⟨ Previous Next ⟩

Abstract

This paper derives the BLUP in a panel data regression model with two way error components and investigates the performance of various predictors. Through simulation study and real data anaysis some of basic finding is following: the computationally simple FGLS(AM, SA) predictors perform reasonably well when compared with the computationally involved MLE and RMLE predictors.

본 논문에서는 이원오차성분을 가지는 패널회귀모형에서 미래시점에 대한 다양한 예측량들을 유도하고, 예측량들의 효율성을 모의실험을 통하여 비교하였다. 모의실험 결과, FGLS추정량을 이용한 예측량들은 참 GLS를 이용한 예측량과 효율성에서 서로 큰차이를 보이지 않았다. 또한 계산상 매우 복잡한 ML과 REML을 이용한 예측량과도 거의 비슷한 효율성을 보여주었다.

Keywords

References

  1. International Econometric Review v.12 The estimation of the variances in a variance components model Amemiya, T.
  2. Econometric Analysis of Panel Data Baltagi, B. H.
  3. European Economic Review v.22 Gasoline demand in the OECD: An application of pooling and testing procedures Baltagi, B. H.;J. M. Griffin
  4. Statistica Neerlandica v.44 The analysis of unbalanced linear models with variance components Engle, B.
  5. Journal of the American Statistical Association v.57 Best linear unbiased prediction in the generalized linear regression model Goldberger, A. S.
  6. Analysis of Panel Data Hsiao, C.
  7. Journal of the American Statistical Association v.72 Maximum likelihood approaches to variance component estimation and related to problems Harville, D. A.
  8. The Analysis of Linear Models Hocking, R. R.
  9. Journal of Forecasting v.12 Linear regression forecasting in the presence of AR(1) disturbances Latif, A.;L. King
  10. The Econometrics of Panel Data, Ⅰ, Ⅱ Maddala, G. S.
  11. Econometrica v.39 Further evidence on the estimation of dynamic economic relations from a time-series of cross-sections Nerlove, M.
  12. Biometrica v.58 Recovery of inter-block information when block sizes are unequal Patterson, H. D.;R. Thompson
  13. Variance Components Searle, S. R.;Casella, G.;McCulloch, C. E.
  14. Econometrica v.40 The exact finite sample properties of the estimators of coefficients in the error components regression model Swamy, P. A. V. B.;S. S. Arora
  15. Journal of the Econometrics v.13 Prediction in the context of the variance-components model data Taub, A. J.
  16. Annales de I'INSEE v.30-31 The separation of individual variation and systematic change in the analysis of panel data Wansbeek, T. J.;A, Kapteyn