패널 1차 자기회귀과정들의 동질성 검정 통계량 비교

Abstract

Abstract We can achieve the principle of parsimony and efficiency if homogeneity for panel time series model issatisfied. We suggest a Rao test statistic and a Wald test statistic for the test of homogeneity for panelAR(1) and derived the limit distribution. We performed a simulation to examine statistics with the same chi-square distribution when number of the individual is small and in common with large. We also simulated tocompare the empirical power of the statistics in a small panel. In application, we fit panel AR(1) model usingregional monthly economical active population data and test homogeneity for panel AR(1). It is satisfiedhomogeneity, so it could be fitted AR(1) using the sample mean at the time point. We also compare thepower of prediction between each individual and pooled model.Keywords: panel first order autoregressive model, test of homogeneity, Rao test statistic, Wald test statistic,regional economical active population data 1. 서론 하나의현상에 대해 여러 개의독립적인시계열로 구성된 자료는 실제 현상에서자주 나타나게 되는데 이를 패널 시계열 자료라 한다. 이때