응용통계연구 (The Korean Journal of Applied Statistics)

  • 제14권1호
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  • Pages.121-135
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  • 2001
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

패널회귀모형에서 예측량의 효율에 관한 비교

A Comparison of Predictors in a Panel Data Regression Model

  • 발행 : 2001.03.01
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⟨ 이전 논문 다음 논문 ⟩

초록

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.

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.

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참고문헌

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