• Journal of the Korean Statistical Society
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• v.25 no.4
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• pp.529-544
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• 1996

This paper deals with the problem of estimating the autoregressive random coefficient of a first-order random coefficient autoregressive time series model applied to panel data of time series. The autoregressive random coefficients across individual units are assumed to be a random sample from a truncated normal distribution with the space (-1, 1) for stationarity. The estimates of random coefficients are obtained by an empirical Bayes procedure using the estimates of model parameters. Also, a Monte Carlo study is conducted to support the estimation procedure proposed in this paper. Finally, we apply our results to the economic panel data in Liu and Tiao(1980).

• The Korean Journal of Applied Statistics
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• v.27 no.7
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• pp.1163-1170
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• 2014

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.

• The Korean Journal of Applied Statistics
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• v.29 no.1
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• pp.123-132
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• 2016

We can achieve the principle of parsimony and efficiency if homogeneity for panel time series model is satisfied. We suggest a Rao test statistic and a Wald test statistic for the test of homogeneity for panel AR(1) and derived the limit distribution. We performed a simulation to examine statistics with the same chisquare distribution when number of the individual is small and in common with large. We also simulated to compare the empirical power of the statistics in a small panel. In application, we fit panel AR(1) model using regional monthly economical active population data and test homogeneity for panel AR(1). It is satisfied homogeneity, so it could be fitted AR(1) using the sample mean at the time point. We also compare the power of prediction between each individual and pooled model.

• International Area Studies Review
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• v.20 no.1
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• pp.53-78
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• 2016

This study is to analyze the effects of both the bilateral FTA and a home and its trade partner's FTAs on the trade with 62 country-pair panel data over the period of 2003-2013 using the gravity model and the spatial autoregressive model. First, the study analyzes how the bilateral FTAs affect the trade using the gravity model and the spatial model. Next, the article analyzes how the home and its trade partners' FTAs affect their trade using only the spatial model under controlling the bilateral FTA. The empirical results are summarized as the followings: first, the spatial mode fits well more than the gravity model in analyzing the relationship between the bilateral FTA and trade. It implies that the spatial spillover effect of FTA is important in the international trade with FTA. Second, the bilateral FTA plays a role in expanding the trade between or among the FTA members as proved by the previous studies. Third, the more the home and its trade partners' FTAs, the more the bilateral trade are extended. Fourth, with the bilateral FTAs, as the home and its trade partners enter into more FTAs, the bilateral trade reduces due to trade diversion effects. In conclusion, this study provides a political implication that in order to increase the trade volume, a country enters into as many FTAs as possible because the effects of the bilateral FTAs would decrease.