The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Test of Homogeneity for Intermittent Panel AR(1) Processes and Application

간헐적인 패널 1차 자기회귀과정들의 동질성 검정과 적용

  • Lee, Sung Duck (Department of Information and Statistics, Chungbuk National University) ;
  • Kim, Sun Woo (Department of Information and Statistics, Chungbuk National University) ;
  • Jo, Na Rae (Department of Information and Statistics, Chungbuk National University)
  • 이성덕 (충북대학교 정보통계학과) ;
  • 김선우 (충북대학교 정보통계학과) ;
  • 조나래 (충북대학교 정보통계학과)
  • Received : 2014.09.22
  • Accepted : 2014.10.08
  • Published : 2014.12.31
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Abstract

The concepts and structure of intermittent panel time series data are introduced. We suggest a Wald test statistic for the test of homogeneity for intermittent panel first order autoregressive model and its limit distribution is derived. We consider the fitting the model with pooling data using sample mean at the time point if homogeneity for intermittent panel AR(1) is satisfied. We performed simulations to examine the limit distribution of the homogeneity test statistic for intermittent panel AR(1). In application, we fit the intermittent panel AR(1) for panel Mumps data and investigate the test of homogeneity.

간헐적인 패널 시계열 자료의 개념과 구조를 소개하고, 간헐적인 패널 시계열 자료의 모형으로 간헐적인 패널 1차 자기회귀 모형을 고려하였다. 간헐적인 패널 1차 자기회귀 모형의 동질성 검정을 위하여 Wald 검정통계량을 제안하고, 그 극한분포를 제시하였다. 또한 동질성이 만족되는 경우 시점 별 평균을 이용하여 종합한 자료로 모형을 적합하였다. 이 모형의 동질성 검정 통계량의 극한분포가 $^x2$분포에 잘 따르는지를 알아보기 위해 모의실험을 실시하고, 실제 자료 분석으로 지역별 월별 Mumps 자료에 간헐적인 패널 1차 자기회귀 모형을 적합하여 동질성 검정을 수행한 결과 동질성을 만족하였다. 동질성이 만족된 지역별 월별 Mumps 자료를 시점 별 평균을 이용하여 종합하고 1차 자기회귀 모형으로 적합하였다.

Keywords

References

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