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횡단면-시계열 자료에서 구조변화와 횡적상관 관계로 인한 편의를 조정하는 추정방법

Standard-Error Estimation with Structural Changes and Cross-sectional Correlation in Panel Data

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한국응용경제학회|2009.06|응용경제 (Korea Review of Applied Economics)|제11권 제1호|pp. 155-178

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참고문헌

키워드

구조변화패널자료panel datastructural changes횡적상관관계표준오차의 추정편의가중평균추정cross-sectional correlationestimation bias of standard errorsweighted-average estimates
주제분류경제학

초록

회귀모형의 구조변화 또는 회귀계수의 안정성을 검정하기 위해서는 매 시점 회귀계수뿐만 아니라 표준오차를 정확히 추정하여야 하는데, 이를 위해서는 관측치들 사이의 횡적상관관계를 조정하는 것이 중요하다. 만일 횡적상관관계를 조정하지 않게 되면 표준오차가 작게 추정될 수 있으며, 그로 인하여 회귀계수의 안정성을 과도하게 기각하게 된다. 본 연구에서는 횡적상관관계를 조정하는 표준오차의 추정방법들을 비교, 분석하며, 이를 회귀계수의 안정성 검정에 응용한다.

Abstract

This study emphasizes that cross-sectional correlations need to be incorporated in the estimation of the coefficient standard errors. If the cross-sectional correlations are ignored as in the OLS estimation, the coefficient stability will be too often rejected since the standard errors are underestimated in many cases. This study evaluates the accuracy of several estimation methods with an application to the test of structural changes.

참고문헌 (24)

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