Paneļu autoregresīvo modeļu novērtējumu īpašību izpēte ar simulāciju palīdību

6533b820fe1ef96bd1279517

RESEARCH PRODUCT

Paneļu autoregresīvo modeļu novērtējumu īpašību izpēte ar simulāciju palīdību

Madara Liepiņa

subject

description

Darbs tiek veltīts paneļu datu regresijas modeļiem ar uzsvaru uz dinamisko modeļu novērtēšanas metodēm. Uzmanība tika veltīta paneļiem ar lielu indivīdu skaitu, kas novēroti īsā laika periodā, konkrētāk, apskatīti gadījumā, kad n→∞ un T ir fiksēts, kas ir raksturīgi mikropaneļiem. Darbā dots pārskats par statiskiem paneļdatu regresijas modeļiem ar fiksētiem efektiem, apskatīta instrumentālo mainīgo novērtēšanas metode, vispārinātā momentu metode parametru novērtējumu iegūšanai. Apskatīti Andersona - Hsiao, Arellano-Bonda, Arellano-Bovera, SYS GMM, Hana-Phillipa dinamisko paneļu regresijas parametru novērtējumi. Veikta šo novērtējumu īpašību izpēte ar simulāciju palīdzību.Darbā izmantoti autores izstrādātie Matlab kodi, kas realizē minētos dinamisko modeļu novērtējumus. Atslēgas vārdi: paneļu dati, dinamiskie modeļi, fiksētie efekti, instrumentālie mainīgie, vispārinātā momentu metode, parametra novērtējumi

year	journal	country	edition	language
2012-01-01

https://dspace.lu.lv/dspace/handle/7/25583

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