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Statistical Theory for the Analysis of Nonstationary Panel Data

Research Project

Project/Area Number 16K03600
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Economic statistics
Research InstitutionGakushuin University

Principal Investigator

Tanaka Katsuto  学習院大学, 経済学部, 教授 (40126595)

Project Period (FY) 2016-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥4,160,000 (Direct Cost: ¥3,200,000、Indirect Cost: ¥960,000)
Fiscal Year 2018: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2017: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Fiscal Year 2016: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywordsパネルデータ / 非定常性 / 検定の検出力 / 局所対立仮説 / 漸近理論 / 数値積分 / 非定常パネルデータ / 反転不可能な移動平均モデル / 局所検出力 / 個別効果 / Brown 運動 / 連続時間確率過程 / common regressor / heterogeneous regressor / 非定常過程 / 単位根仮説 / 非定常モデル / 単位根検定 / 検出力 / 数値計算
Outline of Final Research Achievements

Building a model for nonstationary panel data, we have considered a testing problem for the parameter that exhibits nonstationarity. In particular, we suggested an efficient way of computing local powers in a neighborhood of the nonstatinary region. We also clarified the difference in powers between the common and individual cases of explanatory variables. These results were published in international journals and my books.

Academic Significance and Societal Importance of the Research Achievements

非定常なパネルデータのモデルは,複雑な振る舞いをする非定常なデータを分析するために有用であり,そのモデルの非定常性を表すパラメータの推測問題に関心をもって研究してきた.特に,検定問題において,未解決の問題であった検出力の計算に対して,効率的な方法を開発して提案した.このことにより,さまざまな非定常パネルモデルの間の関係も明らかにされ,モデルを応用する上での指針を与えることができた.

Report

(5 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Research-status Report
  • 2017 Research-status Report
  • 2016 Research-status Report
  • Research Products

    (20 results)

All 2020 2018 2017 2016

All Journal Article (4 results) (of which Peer Reviewed: 2 results,  Open Access: 3 results) Presentation (14 results) (of which Int'l Joint Research: 4 results,  Invited: 8 results) Book (2 results)

  • [Journal Article] Comparison of the LS-based Estimators and the MLE for the Fractional Ornstein-Uhlenbeck Process2020

    • Author(s)
      Katsuto Tanaka
    • Journal Title

      Statistical Inference for Stochastic Processes

      Volume: 23 Issue: 2 Pages: 415-434

    • DOI

      10.1007/s11203-020-09215-3

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Computing Limiting Local Powers and Power Envelopes of Panel MA Unit Root Tests and Stationarity Tetsts2018

    • Author(s)
      Katsuto Tanaka
    • Journal Title

      Econometric Theory

      Volume: 印刷中 Issue: 05 Pages: 978-1011

    • DOI

      10.1017/s0266466618000324

    • Related Report
      2019 Annual Research Report 2018 Research-status Report
    • Peer Reviewed / Open Access
  • [Journal Article] Cross-Sectional Effects of Common and Heterogeneous Regressors on Asymptotic Properties of Panel Autoregressive Unit Root Tests2018

    • Author(s)
      Katsuto Tanaka
    • Journal Title

      学習院大学経済論集

      Volume: 55 Pages: 35-60

    • NAID

      120006576801

    • Related Report
      2018 Research-status Report
    • Open Access
  • [Journal Article] Statistical Inference Associated with the Fractional Brownian Motion2016

    • Author(s)
      Katsuto Tanaka
    • Journal Title

      学習院大学経済経営研究所年報

      Volume: 30 Pages: 31-59

    • NAID

      40021059007

    • Related Report
      2016 Research-status Report
  • [Presentation] Cross-Sectional Effects of Common and Heterogeneous Regressors on Asymptotic Properties of Panel Autoregressive Unit Root Tests2018

    • Author(s)
      Katsuto Tanaka
    • Organizer
      University of Nottingham Econometrics Seminar
    • Related Report
      2018 Research-status Report
    • Invited
  • [Presentation] Distributions of Quadratic Functionals of the Fractional Brownian Motion Based on A Martingale Approximation2018

    • Author(s)
      Katsuto Tanaka
    • Organizer
      University of Oxford Econometrics Seminar
    • Related Report
      2018 Research-status Report
    • Invited
  • [Presentation] Estimation Problems Associated with the Fractional O-U Process in the Ergodic and Non-Ergodic Cases2018

    • Author(s)
      Katsuto Tanaka
    • Organizer
      University of Exeter Econometrics Seminar
    • Related Report
      2018 Research-status Report
    • Invited
  • [Presentation] Computing Limiting Local Powers and Power Envelopes of Panel MA Unit Root Tests and Stationarity Tetsts2018

    • Author(s)
      Katsuto Tanaka
    • Organizer
      Econometric Conference at Keynes College
    • Related Report
      2018 Research-status Report
    • Invited
  • [Presentation] Analysis on Nonstationary and Noninvertible Time Series Models2018

    • Author(s)
      Katsuto Tanaka
    • Organizer
      Statistical Society of Australia
    • Related Report
      2018 Research-status Report
    • Invited
  • [Presentation] Estimation Problems Associated with the Fractional O-U Process in the Ergodic and Non-Ergodic Cases2018

    • Author(s)
      Katsuto Tanaka
    • Organizer
      SMU econometric seminar
    • Related Report
      2018 Research-status Report
    • Invited
  • [Presentation] Cross-sectional effects of common and heterogeneous regressors on asymptotic properties of panel unit root tests2018

    • Author(s)
      Katsuto Tanaka
    • Organizer
      Waseda International Sympsium
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] Estimation problems associated with the fractional O-U process in the ergodic and non-ergodic cases2018

    • Author(s)
      Katsuto Tanaka
    • Organizer
      University of Technology Sydney Probability Seminar
    • Related Report
      2017 Research-status Report
  • [Presentation] Cross-sectional effects of common and heterogeneous regressors on asymptotic properties of panel unit root tests2018

    • Author(s)
      Katsuto Tanaka
    • Organizer
      University of New South Wales Statistics Seminar
    • Related Report
      2017 Research-status Report
  • [Presentation] Limiting local powers and power envelopes of panel AR and MA unit root tests and panel stationarity tests2017

    • Author(s)
      Katsuto Tanaka
    • Organizer
      European Meeting of Econometric Society
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] Limiting local powers and power envelopes of panel AR and MA unit root tests and panel stationarity tests2017

    • Author(s)
      Katsuto Tanaka
    • Organizer
      NBER Time Series Conference
    • Related Report
      2017 Research-status Report
    • Int'l Joint Research
  • [Presentation] Limiting local powers and power envelopes of panel AR and MA unit root tests and panel stationarity tests2017

    • Author(s)
      Katsuto Tanaka
    • Organizer
      Harvard University Lunch Seminar
    • Related Report
      2017 Research-status Report
  • [Presentation] Limiting local powers and power envelopes of panel AR and MA unit root tests and panel stationarity tests2017

    • Author(s)
      Katsuto Tanaka
    • Organizer
      Boston University Seminar
    • Related Report
      2017 Research-status Report
  • [Presentation] Estimation problems associated with the fractional O-U process in the ergodic and non-ergodic cases2016

    • Author(s)
      Katsuto Tanaka
    • Organizer
      Waseda International Symposium
    • Place of Presentation
      早稲田大学理工学部
    • Year and Date
      2016-10-24
    • Related Report
      2016 Research-status Report
    • Int'l Joint Research / Invited
  • [Book] 時系列解析2020

    • Author(s)
      田中 勝人
    • Total Pages
      464
    • Publisher
      共立出版
    • ISBN
      9784320113541
    • Related Report
      2019 Annual Research Report
  • [Book] Time Series Analysis, 2nd edition2017

    • Author(s)
      Katsuto Tanaka
    • Total Pages
      904
    • Publisher
      John Wiley and Sons
    • Related Report
      2016 Research-status Report

URL: 

Published: 2016-04-21   Modified: 2021-02-19  

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