| Project/Area Number |
15200022
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| Research Category |
Grant-in-Aid for Scientific Research (A)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Statistical science
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| Research Institution | Nagoya University |
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Principal Investigator |
WAGO Hajime Nagoya University, Graduate School of Economics, Professor., 大学院経済学研究科, 教授 (00091934)
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| Co-Investigator(Kenkyū-buntansha) |
SHIGEMASU Kazuo University of Tokyo, Dept. of Cognitive and Behavioral Science, Professor., 大学院総合文化研究科, 教授 (90091701)
TERUI Nobuhiko Tohoku University, Graduate School of Economics, Professor., 大学院経済学研究科, 教授 (50207495)
OMORI Yoshiro University of Tokyo, Graduate School of Economics, Associate Professor, 大学院経済学研究科, 助教授 (60251188)
KOZUMI Hideo Kobe University, Grad. Sch. of Business Administration, Professor, 大学院経営学研究科, 教授 (10261273)
WATANABE Toshiaki Hitotsubashi University, Economic Research Institute, Professor, 経済研究所, 教授 (90254135)
谷崎 久志 神戸大学, 大学院・経済学研究科, 助教授 (60248101)
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| Project Period (FY) |
2003 – 2006
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| Project Status |
Completed (Fiscal Year 2006)
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| Budget Amount *help |
¥49,400,000 (Direct Cost: ¥38,000,000、Indirect Cost: ¥11,400,000)
Fiscal Year 2006: ¥9,490,000 (Direct Cost: ¥7,300,000、Indirect Cost: ¥2,190,000)
Fiscal Year 2005: ¥11,310,000 (Direct Cost: ¥8,700,000、Indirect Cost: ¥2,610,000)
Fiscal Year 2004: ¥13,650,000 (Direct Cost: ¥10,500,000、Indirect Cost: ¥3,150,000)
Fiscal Year 2003: ¥14,950,000 (Direct Cost: ¥11,500,000、Indirect Cost: ¥3,450,000)
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| Keywords | latent variable model / spatio-temporal model / Bayes estimation / hierarchical model / Markov chain Monte Carlo Method / model selection / panel data analysis / state space model / マルコフ連鎖モンテカルロ法 / マーケッティング・モデル / ダイナック・ファクター・モデル / 多変量GARCHモデル / 隠れマルコフモデル |
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| Research Abstract |
In this research, we investigate the latent variable models mainly from the view points of the empirical method of modeling, the Bayesian estimation, and the model comparison. Making use of the Markov chain Monte Carlo (MCMC) method, which is based on simulation, we developed efficient estimation methods and usage of Bayesian statistical models. This is the last period of our four-year-project. We planned to finalize the project by summarizing the each investigator's researches and the research papers submitted in the five international symposiums of this project. We will be searching for the direction of the researches for the future.
In 2006, we held two international symposiums in Japan and a workshop jointly with IAS (Institute for Advanced Studies) of Austria. At the first symposium, in September, we invited five famous foreign researchers, A. C. Harvey, H. van Dijk, A. C. Cameron, C. Meghir, and J. M. Robin. We also had a significant exchange with young researchers who presenting
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excellent research papers at the University of Tokyo. This conference was held under the title of "Recent Development of the Applied Econometrics" jointly with Japan Statistical Association 75'th anniversary Symposium. The second meeting "International Workshop on Bayesian Statistics and Applied Econometrics" was held at Tohoku University in November. We invited six world-known econometricians from abroad. This workshop centered on the topics of the computational method according to the modeling mainly used by Bayes hierarchical model, etc. There were totally 21 presentations given by Geweke, Chib, Poirier, Tsay, Jeriazkov, Tsurumi, and other Japanese researchers. In abroad, "JEuBES 2006, 1^<st> Japanese-European Bayesian Econometrics and Statistics Meeting", which we co-sponsored, was held at IAS in Vienna. 5 group-members from Japan and 13 participants from Europe and the US joined the meeting. The research topics were about Bayes models, the hierarchical structures, and spatial models, etc. In June, four people attended the Valencia international meeting on Bayesian Statistics and in August one attended the Joint Statistical Meeting held at U.S.A. It will be necessary to take into account a common modeling method about many similar models in more complex systems in the future. Less
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