面板数据分析中含两阶段自回归残差的单因素误差分量模型研究

摘要

The autoregression of residual disturbances makes it more difficult to estimate the parameters in panel data analysis. The paper puts forward an one-way error components model containing AR (2) process of residual disturbances and then derives how to get GLS estimates and the estimates' properties.%在面板数据分析中残差自相关使得参数估计更加复杂.本文提出了含两阶段自回归残差的单因素误差分量模型,并推导了在这一模型中如何计算广义最小二乘估计量及其相关性质.