V2EX pooled-ols

Pooled OLS

释义 Definition

Pooled OLS(合并最小二乘法):在面板数据(同一对象跨时间的重复观测)或多组数据中,把所有观测值直接“合并(pooled)”成一个样本,用普通最小二乘法(OLS)估计回归模型的一种做法。它通常不显式控制个体固定效应或随机效应,因此在存在不可观测的个体差异且与解释变量相关时,估计可能有偏。(在某些情形下,“pooled OLS”也泛指“不分组、直接合并样本做的 OLS 回归”。)

发音 Pronunciation (IPA)

/puld o l s/

例句 Examples

We ran a pooled OLS regression on the panel data.
我们对这组面板数据做了合并最小二乘(pooled OLS)回归。

If unobserved firm characteristics are correlated with R&D spending, pooled OLS will likely produce biased estimates, so a fixed-effects model may be preferable.
如果不可观测的企业特征与研发支出相关,合并 OLS 很可能得到有偏估计,因此固定效应模型可能更合适。

词源 Etymology

pooled 来自 pool(“集中、汇总”),表示把多份数据“合并到一个池子里”。OLSOrdinary Least Squares(普通最小二乘法)的缩写,指通过最小化残差平方和来估计线性回归系数的方法。合在一起, 就是“把数据合并后用 OLS 直接回归”。

相关词 Related Words

文学与经典出处 Literary Works

  • Jeffrey M. Wooldridge, Introductory Econometrics: A Modern Approach(面板数据章节常以 pooled OLS 作为基准模型进行对比)
  • William H. Greene, Econometric Analysis(讨论面板模型时会与 pooled OLS、固定效应、随机效应并列比较)
  • A. Colin Cameron & Pravin K. Trivedi, Microeconometrics: Methods and Applications(面板与聚类稳健推断语境下常提及 pooled OLS)
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