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증강 평균 그룹 (Augmented Mean Group, AMG) 추정량×공통 상관 효과 평균 그룹(CCEMG) 추정량×최소제곱법(OLS) 회귀×
분야계량경제학계량경제학계량경제학
계열Regression modelRegression modelRegression model
기원 연도201020062019
창시자Eberhardt & Teal; Bond & EberhardtM. Hashem PesaranWooldridge (textbook treatment); classical least squares
유형Heterogeneous panel data estimatorHeterogeneous panel estimatorLinear regression
원전Eberhardt, M. & Teal, F. (2010). Productivity Analysis in Global Manufacturing Production. Economics Series Working Papers, No. 515, University of Oxford. link ↗Pesaran, M. H. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012. DOI ↗Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860
별칭AMG estimator, augmented mean group, Artırılmış Ortalama Grup Tahmincisi (AMG)common correlated effects, CCE, CCEMG, Pesaran CCE estimatorordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu
관련445
요약The Augmented Mean Group estimator, developed by Eberhardt and Teal (2010), is a panel data method for estimating heterogeneous slope coefficients in the presence of cross-sectional dependence. It approximates the unobserved common dynamic process driving all units and folds it into unit-by-unit regressions, then averages the results.The Common Correlated Effects Mean Group estimator, introduced by Pesaran in 2006, is a heterogeneous panel-data estimator that controls for cross-sectional dependence by approximating unobserved common factors with the cross-section averages of the variables. It remains consistent when the slope coefficients differ across units.Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE).
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