A Discussion about Cross-section Error of Panel Data Following ARCH Distribution
This paper discusses about issues on the model setting and parameter estimation of crosssection error vit following ARCH distribution. With the skill-matrix spectral Decomposition-it v problems initially solved by GLS method can be solved just by OLS method which simplifies the operation process. This paper also verified the predominance of our estimation method by Monte-Carlo stochastic simulation.
Panel Data Model Matriz Spectral Decomposition ARCH Model
REN Yanyan HUA Xiaoan
Economics School of Shandong University, Jinan, P.R.China, 250100
国际会议
2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)
烟台
英文
1-5
2008-08-14（万方平台首次上网日期，不代表论文的发表时间）