Panel模型中两步估计的优良性  

Optimality of Two-stage Estimator in Panel Models

作　　者：王松桂[1] 范永辉[2] 

机构地区：[1]北京工业大学,北京100022 [2]中国科学院应用数学所,北京100080

出　　处：《应用概率统计》1998年第2期177-184,共8页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金;北京市自然科学基金

摘　　要：本文研究Panel模型中未知参数的估计问题，给出了两步估计的协方差的准确表达式．用均方误差作为度量估计的优劣标准，我们建立了两步估计优于Within估计和最小二乘估计的充要条件．特别我们获得了两步估计优于Within估计的简单充分条件．一般说来，对于中等数量的样本容量，两步估计就优于Within估计，类似的结论对Between估计或最小二乘估计也成立．This paper is concerned with the parameter estimation in the panel models. The exact ex pression of the covariance matrix of two-stage estimator is obtained. Some necessary and sufficient conditions for the superiority of two-stage estimator over within estimator and the least squares under the mean squared error criterion are established. In particular, we obtain a sample sufficient condition for the superiority of the two-stage estimator over the within estimator. In general, two-stage estimator is better than the within estimator for medium sample size. Similar results hold also for the between estimator and the least squares estimator

关 键 词：两步估计 Within估计 Panel模型 优良性 

分 类 号：O212.1[理学—概率论与数理统计]