A Generalized Error Component Model with Heteroscedastic Disturbances
将单因素误差分量模型从同方差推广到异方差情形，提出了两种估计方差分量的方法，并应用于18个OECD国家1964-78年汽油需求估计。
This paper generalizes the one-way error component model from the homoskedastic to the heteroskedastic case. Unlike P. Mazodier and A. Trognon's (1978) heteroskedastic two-way error component model, an explicit form for V11/2 is obtained that allows the computation of generalized least squares as a simple modification of J. A. Hausman's (1978) procedure for the homoskedastic case. Two methods for estimating the variance components are proposed. The first estimates the variance components based on ordinary least squares and within residuals. The second uses the minimum norm quadratic unbiased estimation procedure suggested by C. R. Rao (1970). These methods are then applied to the estimation of gasoline demand for eighteen OECD countries over the period 1964-78. Copyright 1988 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.