• Title/Summary/Keyword: Error component panel data regression

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Asymptotic Distribution of the LM Test Statistic for the Nested Error Component Regression Model

  • Jung, Byoung-Cheol;Myoungshic Jhun;Song, Seuck-Heun
    • Journal of the Korean Statistical Society
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    • v.28 no.4
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    • pp.489-501
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    • 1999
  • In this paper, we consider the panel data regression model in which the disturbances have nested error component. We derive a Lagrange Multiplier(LM) test which is jointly testing for the presence of random individual effects and nested effects under the normality assumption of the disturbances. This test extends the earlier work of Breusch and Pagan(1980) and Baltagi and Li(1991). Further, it is shown that this LM test has the same asymptotic distribution without normality assumption of the disturbances.

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Asymptotic Properties of the Disturbance Variance Estimator in a Spatial Panel Data Regression Model with a Measurement Error Component

  • Lee, Jae-Jun
    • Communications for Statistical Applications and Methods
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    • v.17 no.3
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    • pp.349-356
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    • 2010
  • The ordinary least squares based estimator of the disturbance variance in a regression model for spatial panel data is shown to be asymptotically unbiased and weakly consistent in the context of SAR(1), SMA(1) and SARMA(1,1)-disturbances when there is measurement error in the regressor matrix.

Alternative Tests for the Nested Error Component Regression Model

  • Song, Seuck-Heun;Jung, Byoung-Cheol
    • Journal of the Korean Statistical Society
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    • v.29 no.1
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    • pp.63-80
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    • 2000
  • We consider the panel data regression model with nested error componets. In this paper, the several Lagrange Multipler tests for the nested error component model are derived. These tests extend the earlier work of Honda(1985), Moulton and Randolph(1989), Baltagi, et al.(1992) and King and Wu(1997) to the nested error component case. Monte Carlo experiments are conducted to study the performance of these LM tests.

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The Effect of First Observation in Panel Regression Model with Serially Correlated Error Components

  • Song, Seuck-Heun
    • Communications for Statistical Applications and Methods
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    • v.6 no.3
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    • pp.667-676
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    • 1999
  • We investigate the effects of omission of initial observations in each individuals in the panel data regression model when the disturbances follow a serially correlated one way error components. We show that the first transformed observation can have a relative large hat matrix diagonal component and a large influence on parameter estimates when the correlation coefficient is large in absolute value.

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LM Tests in Nested Serially Correlated Error Components Model with Panel Data

  • Song, Seuck-Heun;Jung, Byoung-Cheol;Myoungshic Jhun
    • Journal of the Korean Statistical Society
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    • v.30 no.4
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    • pp.541-550
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    • 2001
  • This paper considers a panel data regression model in which the disturbances follow a nested error components with serial correlation. Given this model, this paper derives several Lagrange Multiplier(LM) testis for the presence of serial correlation as well as random individual effects, nested effects, and for existence of serial correlation given random individual and nested effects.

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Tests for Panel Regression Model with Unbalanced Data

  • Song, Suck-Heun;Jung, Byoung-Cheol
    • Journal of the Korean Statistical Society
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    • v.30 no.3
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    • pp.511-527
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    • 2001
  • This paper consider the testing problem of variance component for the unbalanced tow=-way error component model. We provide a conditional LM test statistic for testing zero individual(time) effects assuming that the other time-specific(individual)efefcts are present. This test is extension of Baltagi, Chang and Li(1998, 1992). Monte Carlo experiments are conducted to study the performance of this LM test.

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A Note on Disturbance Variance Estimator in Panel Data with Equicorrelated Error Components

  • Seuck Heun Song
    • Communications for Statistical Applications and Methods
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    • v.2 no.2
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    • pp.129-134
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    • 1995
  • The ordinary least square estimator of the disturbance variance in the pooled cross-sectional and time series regression model is shown to be asymptotically unbiased without any restrictions on the regressor matrix when the disturbances follow an equicorrelated error component models.

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Application of Generalized Maximum Entropy Estimator to the Two-way Nested Error Component Model with III-Posed Data

  • Cheon, Soo-Young
    • Communications for Statistical Applications and Methods
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    • v.16 no.4
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    • pp.659-667
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    • 2009
  • Recently Song and Cheon (2006) and Cheon and Lim (2009) developed the generalized maximum entropy(GME) estimator to solve ill-posed problems for the regression coefficients in the simple panel model. The models discussed consider the individual and a spatial autoregressive disturbance effects. However, in many application in economics the data may contain nested groupings. This paper considers a two-way error component model with nested groupings for the ill-posed data and proposes the GME estimator of the unknown parameters. The performance of this estimator is compared with the existing methods on the simulated dataset. The results indicate that the GME method performs the best in estimating the unknown parameters in terms of its quality when the data are ill-posed.

Study on Effects of Meteorological Elements in the Grain Production of Korea (우리나라 곡물류 생산량에 기상요소의 영향에 관한 연구)

  • Chang, Young-Jae;Lee, Joong-Woo;Park, Jong-Kil;Park, Heung Jai
    • Journal of Environmental Science International
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    • v.24 no.3
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    • pp.281-290
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    • 2015
  • Recent climate change has led to fluctuations in agricultural production, and as a result national food supply has become an important strategic factor in economic policy. As such, in this study, panel data was collected to analyze the effects of seven meteorological elements on the production of five types of grain with error component panel data regression method following the test results of LM tests, Hausman test. The key factors affecting the production of rice were average temperature, average relative humidity and average ground surface temperature. The fluctuations in the other four grains types are not well explained by meterological elements. For other grains and beans, only average temperature and time (year) affect the production of other grains while average temperature, ground surface temperature, and time (year) influence the production of beans. For barley and millet, only average temperature positively affects the production of barley while ground surface temperature and time (year) negatively influence the production of millet. The implications of this study are as follow. First, it was confirmed that the meteorological elements have profound effects on the rice production. Second, when compared to existing studies, this study was not limited to rice but encompassed all five types of grains and went beyond other studies that were limited to temperature and rainfall to include various meteorological elements.

Effects of Meteorological Elements in the Production of Food Crops: Focused on Regression Analysis using Panel Data (기상요소가 식량작물 생산량에 미치는 영향: 패널자료를 활용한 회귀분석)

  • Lee, Joong-Woo;Jang, Young Jae;Ko, Kwang-Kun;Park, Jong-Kil
    • Journal of Environmental Science International
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    • v.22 no.9
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    • pp.1171-1180
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    • 2013
  • Recent climate change has led to fluctuations in agricultural production, and as a result national food supply has become an important strategic factor in economic policy. As such, in this study, panel data was collected to analyze the effects of seven meteorological elements and using the Lagrange multipliers method, the fixed-effects model for the production of five types of food crop and the seven meteorological elements were analyzed. Results showed that the key factors effecting increases in production of rice grains were average temperature, average relative humidity and average ground surface temperature, while wheat and barley were found to have positive correlations with average temperature and average humidity. The implications of this study are as follow. First, it was confirmed that the meteorological elements have profound effects on the production of food crops. Second, when compared to existing studies, the study was not limited to one food crop but encompassed all five types, and went beyond other studies that were limited to temperature and rainfall to include various meterological elements.