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论Panel模型谱分解特征根估计量之比

Keywords: Panel模型,方差分量,谱分解

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Abstract:

为了改进Panel模型参数估计的常用方法,分析了Panel模型谱分解后2个特征根之比,给出了此比例的几种调整方法.使用这些方法导出了模型方差分量的若干不变估计类中MSE准则下的最优估计;还导出了模型回归系数的一个两步无偏估计类,并且给出调整比例的表达式,从而在类中降低了估计量方差的上界.

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