| 多水平面板数据模型的估计理论及模拟研究 |
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| 引用本文： | 王尚坤,石磊. 多水平面板数据模型的估计理论及模拟研究[J]. 统计与信息论坛, 2011, 0(9): 16-22 |
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| 作者姓名： | 王尚坤 石磊 |
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| 作者单位： | 四川理工学院理学院;云南财经大学统计与数学学院; |
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| 摘 要： | 将面板数据模型和多水平模型结合起来,提出了多水平面板数据模型。通过分析该模型的方差协方差结构,采用迭代广义最小二乘法和限制迭代广义最小二乘法,导出模型的参数估计,并通过模拟数据进行了比较分析。结果认为：与多水平模型和面板数据模型相比,该模型能更好地拟合具有层次结构的面板数据。
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| 关 键 词： | 多水平模型 面板数据模型 迭代广义最小二乘法 限制迭代广义最小二乘法 多水平面板数据模型 |
Estimation Theory and Simulation Studies on Multilevel Panel Data Model |
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| WANG Shang-kun,SHI Lei. Estimation Theory and Simulation Studies on Multilevel Panel Data Model[J]. Statistics & Information Tribune, 2011, 0(9): 16-22 |
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| Authors: | WANG Shang-kun SHI Lei |
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| Affiliation: | WANG Shang-kun1,SHI Lei2(1.School of Science,Sichuan University of Science and Engineering,Zigong 643000,China,2.Statistics & Mathematics College,Yunnan University of Finance & Economics,Kunming 650221,China) |
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| Abstract: | This paper proposes a multilevel panel data model by combining the multilevel model and panel data model.The variance-covariance structure of the model is discussed,and parameter estimate method based on iterative generalized least squared(IGLS) and restricted iterative generalized least squared(RIGLS)are proposed.Finally some simulation studies are conducted to verify the performance of the model.The conclusions is: this model fits the hierarchical structure panel data better than multilevel panel data mod... |
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| Keywords: | multilevel model panel data model IGLS RIGLS multilevel panel data model |
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