Panel模型中两步估计的优良性

Optimality of Two-stage Estimator in Panel Models

  • 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。

     

    Abstract: 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.

     

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