Panel数据模型中两步估计的改进  

Improvement of two-step estimation in Panel data model

作　　者：张蕊[1] 范永辉[1] 

机构地区：[1]天津师范大学数学科学学院,天津300387

出　　处：《天津师范大学学报（自然科学版）》2013年第4期4-8,共5页Journal of Tianjin Normal University：Natural Science Edition

摘　　要：研究只含一个随机效应的Panel数据模型中未知参数的估计问题.在均方误差矩阵意义下,给出了两步估计优于Within估计的一个简单的充分条件.在此基础上改进了两步估计,并给出了改进后估计的协方差矩阵.The estimation problem of unknown parameter in Panel data model which only has one random variable is studied. A simple sufficient condition that two-step estimation is superior to Within estimation is proposed under the concept of mean square error matrix. Based on the above result, the two-step estimation is improved and the covarianee matrix of the improved estimation is given.

关 键 词：两步估计 Within估计 Between估计 Panel数据模型 

分 类 号：O212.1[理学—概率论与数理统计]