• 기술혁신학회지
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• 제13권3호
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• pp.513-537
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• 2010

"시장규율로서의 FDI" 가설에 따르면 직접투자 자금유입은 국내기업의 혁신활동에 영향을 미치는 시장구조에 변화를 주는 메커니즘으로 작용한다. STEPI의 2008 KIS 데이터에 대한 프로빗 추정결과는 Bertschek(1995)이 분석한 독일기업의 경우와 달리, 한국기업의 제품혁신을 설명하는데 FDI가 설명력이 없는 것으로 나타났다. 이의 근거로 본 연구는 한국 산업의 시장구조가 독일의 경우보다 독점적인데서 기인한다는 추론을 제시하였다. 2005, 2008년 데이터로 구성된 패널데이터 분석의 경우, GLS와 OLS의 행렬가중평균을 추정하는 임의 파라미터 추정법을 적용하였다. 그 결과는 단순 패널프로빗추정 결과와 상당한 차이가 나, 기업간 파라미터에 많은 파라미터 추정치 변화가 있음을 보여준다. 그러나, 패널추정치와 횡단면 추정치간 타 계수의 부호는 달라도 FDI에 대한 결과는 동일한 것으로 나타난다.

• Journal of the Korean Statistical Society
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• 제25권4호
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• pp.529-544
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• 1996

This paper deals with the problem of estimating the autoregressive random coefficient of a first-order random coefficient autoregressive time series model applied to panel data of time series. The autoregressive random coefficients across individual units are assumed to be a random sample from a truncated normal distribution with the space (-1, 1) for stationarity. The estimates of random coefficients are obtained by an empirical Bayes procedure using the estimates of model parameters. Also, a Monte Carlo study is conducted to support the estimation procedure proposed in this paper. Finally, we apply our results to the economic panel data in Liu and Tiao(1980).

• Communications for Statistical Applications and Methods
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• 제26권4호
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• pp.371-383
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• 2019

Panel data sets have been developed in various areas, and many recent studies have analyzed panel, or longitudinal data sets. Maximum likelihood (ML) may be the most common statistical method for analyzing panel data models; however, the inference based on the ML estimate will have an inflated Type I error because the ML method tends to give a downwardly biased estimate of variance components when the sample size is small. The under estimation could be severe when data is incomplete. This paper proposes the restricted maximum likelihood (REML) method for a random effects panel data model with a censored dependent variable. Note that the likelihood function of the model is complex in that it includes a multidimensional integral. Many authors proposed to use integral approximation methods for the computation of likelihood function; however, it is well known that integral approximation methods are inadequate for high dimensional integrals in practice. This paper introduces to use the moments of truncated multivariate normal random vector for the calculation of multidimensional integral. In addition, a proper asymptotic standard error of REML estimate is given.

• 한국경영과학회지
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• 제31권2호
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• pp.157-167
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• 2006

Estimating the effects of price increase on a company's sales is important task faced by managers. If consumer has prior information on price increase or expects it, there would be stockpiling and subsequent drops in sales. In addition, consumer can suppress demand in the short run. These factors make the sales dynamic and unstable. In this paper we develop a time series model to evaluate the sales patterns with stockpiling and short-term suppression of demand and also propose a forecasting procedure. For estimation, we use panel data and extend the model to Bayesian hierarchical structure. By borrowing strength across cross-sectional units, this estimation scheme gives more robust and reasonable result than one from the individual estimation. Furthermore, the proposed scheme yields improved predictive power in the forecasting of hold-out sample periods.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.23-31
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• 2020

This paper investigates the impact of monetary policy independence shock on bond yield by allowing for heterogeneous coefficients in the model based on panel data for 19 developing countries using quarterly data from 1991 to 2016. First, we estimate the model using conventional panel VAR estimation with the assumption of homogeneous coefficients across countries. Second, by performing Chow and Roy-Zellner tests to check the homogeneity assumption, we find that the assumption does not hold in the model. Third, we apply a mean-group estimation for panel VAR as a solution for heterogeneity panel model. The results reveal that central bank independence is effective in reducing bond yield with the maximum at period 6 after the shock. Shock one standard deviation bond yield has a negative effect on consumption and investment. We determine that central bank independence has a contradictory effect on real activity; a negative effect on consumption but a positive influence on investment for the first two years after the shock. Additionally, we split our sample into three groups to make the subgroups pool. Our empirical result shows that monetary policy independence shock reduces bond yield. Meanwhile, the response of economic activity to bond yield varies for all three groups.

• East Asian Economic Review
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• 제19권1호
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• pp.39-70
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• 2015

This paper examines the effects of foreign direct investment (FDI) on South Asian economies' output growth, utilizing recent panel cointegration testing and estimation techniques. Annual panel data on eight SAARC (South Asian Association for Regional Cooperation) member countries' macroeconomic variables over the period 1960- 2013 are employed in empirical analysis. Using various heterogeneous panel cointegration and panel causality tests, a bi-directional relationship between FDI and growth is found. We find evidence for both FDI-led growth and growth-induced FDI hypotheses for the South Asian economies over the sample period. Individual member countries exhibit heterogeneity in terms of the direction or existence of causality subject to their idiosyncratic economic conditions. Among various regressors, FDI, financial development, human capital, and government consumption show the most significant positive effects on output growth. As determinants of FDI, GDP, financial development, human capital, and government consumption are found significant in the region. The bi-directional causality between FDI and growth is found robust to the inclusion of other control variables and using different estimation techniques.

• Communications for Statistical Applications and Methods
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• 제26권3호
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• pp.315-323
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• 2019

Panel data sets have recently been developed in various areas, and many recent studies have analyzed panel, or longitudinal data sets. Often a dichotomous dependent variable occur in survival analysis, biomedical and epidemiological studies that is analyzed by a generalized linear mixed effects model (GLMM). The most common estimation method for the binary panel data may be the maximum likelihood (ML). Many statistical packages provide ML estimates; however, the estimates are computed from numerically approximated likelihood function. For instance, R packages, pglm (Croissant, 2017) approximate the likelihood function by the Gauss-Hermite quadratures, while Rchoice (Sarrias, Journal of Statistical Software, 74, 1-31, 2016) use a Monte Carlo integration method for the approximation. As a result, it can be observed that different packages give different results because of different numerical computation methods. In this note, we discuss the pros and cons of numerical methods compared with the exact computation method.

• 자원ㆍ환경경제연구
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• 제18권1호
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• pp.53-73
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• 2009

본 연구는 1971년부터 2002년까지 의무감축국과 비의무감축국의 이산화탄소 배출량에 대한 ${\beta}$-수렴성을 검정하였다. 이를 위해서 Barro and Sala-i-Martin (1995)의 경제성장 수렴성 이론을 확장하였고 기존의 정태적 패널 방법이 아닌 종속변수의 시차변수가 독립변수로 포함되는 동적패널분석 (dynamic panel analysis)과 패널 단위근 검정 (panel unit root test)을 시행하였다. 패널 단위근 검정의 경우, Levin et al. (2002) 와 Im et al. (2003) 두 가지 방법을 적용하였다. 연구 결과 의무감축국은 Levin et al. 방법으로 검정한 결과 단위근 존재가 기각되어 수렴성을 확인할 수 있었고 비의무감축국의 경우 Levin et al. 방법과 Im et al. 방법 모두에서 단위근 존재를 기각하지 못하여 수렴성이 존재하지 않음을 확인할 수 있었다. 또한 의무감축국가와 비의무감축국가의 ${\beta}$-수렴성 검정 결과 두 집단 모두 수렴성이 존재하지만 중국을 제외한 비의무감축국가의 경우 수렴성이 존재하지 않았다. 이는 중국의 기본 배출량이다 국가들보다 월등히 높기 때문에 전체 검정의 편의가 발생했을 것으로 생각되어 중국을 제외한 집단을 재검정한 결과 예상대로 수렴성이 존재하지 않는 것으로 나타났다.

• 대한조선학회논문집
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• 제41권1호
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• pp.55-63
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• 2004

This paper is concerned with the simulator to estimate deformation due to welding of panel blocks. An efficient computer program system has been developed which can be applied to estimation of weld-induced deformation under the given welding conditions. The theoretical background of the present simulator is described with the prediction model for the various type of weld-induced deformation. The developed simulator has been applied to estimation of weld-induced deformation in panel block assembly. This paper ends with some findings from applying the developed simulator.

• 국제지역연구
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• 제21권1호
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• pp.201-219
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• 2017

This paper analyzes the economic effects of the S&T Innovation, R&D, human resources and investment on the economic growth using 18 countries. We have obtained the somewhat mixed results on the existence of unit root roots in variables. While most of Pedroni cointegration tests show that there are no panel cointegration among the variables, Kao cointegration test shows that there is the panel cointegration among the variables such as GDP, human capital, R&D investment and patent. Kao cointegration test result shows that human capital, R&D investment, patent economic growth seem to have the panel cointegration or the long-run relationship among them as a whole. The estimation results of individual OLS and panel estimation show that the human capital, R&D investment and technology innovation or patent had positively significant effects on economic growth or GDP.