基于AR(p)误差随机系数面板数据模型的预测
Prediction in the Random Coefficient Panel Data Model with AR(p) Serially Correlated Error Components
DOI: 10.12677/PM.2023.131001, PDF,    国家社会科学基金支持
作者: 张彦芳, 鄢 然, 魏传华：中央民族大学理学院统计学系，北京
关键词: 随机系数面板数据模型；AR(p)；最优线性无偏预测；Random Coefficient Panel Data Model； AR(p)； Optimal Linear Unbiased Prediction
摘要: 本文研究了模型误差服从AR(p)过程的随机系数面板数据模型的预测问题，得到了最优线性无偏预测表达式。数值模拟结果表明了所提方法的有效性。
Abstract: This paper studies the prediction problem of a random coefficient panel data model with AR(p) error, and obtains the optimal linear unbiased prediction expression of the model. The simulation studies are conducted to illustrate the performance of the proposed approach.
文章引用：张彦芳, 鄢然, 魏传华. 基于AR(p)误差随机系数面板数据模型的预测[J]. 理论数学, 2023, 13(1): 1-14. https://doi.org/10.12677/PM.2023.131001

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