Regression modelEconometrics / time series
面板广义最小二乘法 (Panel GLS)
面板广义最小二乘法 (Panel GLS) 是一种用于纵向数据的回归方法，它明确地对非球形误差结构（即单位间的异方差性和单位内的序列相关性）进行建模，以获得有效的系数估计。与普通最小二乘法 (OLS) 不同，它通过误差协方差矩阵的逆来加权观测值，当误差结构被正确设定时，能够产生最佳线性无偏估计量 (BLUE)。
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来源
- Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press. ISBN: 978-0262232586
- Baltagi, B. H. (2021). Econometric Analysis of Panel Data (6th ed.). Springer. ISBN: 978-3030538002
如何引用本页
ScholarGate. (2026, June 3). Panel Generalized Least Squares. ScholarGate. https://scholargate.app/zh/econometrics/panel-gls
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