Dynamic panel analysis based on covariance structure analysis

• Project/Area Number: 17K03660
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Hiroshima University
• Principal Investigator: Hayakawa Kazuhiko 広島大学, 人間社会科学研究科(社), 教授 (00508161)
• Project Period (FY): 2017-04-01 – 2021-03-31
• Project Status: Completed (Fiscal Year 2020)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2019: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2018: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2017: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
• Keywords: パネルデータ / 共分散構造分析 / パネルVARモデル / 自己共分散関数 / 内生性 / GMM / 自己相関関数 / ARMAモデル / 尤度比検定 / 動学的パネルデータモデル

Outline of Final Research Achievements

In this project, we studied an estimation of autocovariance function and panel VAR model as a tool to analyze the dynamics of panel data. Although both methods are basic tools to analyze the dynamics of time series data, they are not directly applicable to panel data since it typically includes individual effects. Therefore, in this project, we proposed new methods to study the dynamics of panel data based on the covariance structure analysis.

Academic Significance and Societal Importance of the Research Achievements

本研究では共分散構造分析を用いて、パネルデータの動学構造を分析するための新しい統計手法を提案した。パネルデータは経済学だけではなく、政治学・心理学・社会学等様々な分野の実証分析で用いられているため、本研究で提案した手法は、幅広い分野で利用可能である。また、心理統計学の分野で盛んに研究が行われて共分散構造分析を、計量経済学に積極的に導入しようとしている点も本研究の大きな成果である。

Research Products

• [Int'l Joint Research] University of York(英国)
• [Int'l Joint Research] University of York(英国)
• [Journal Article] Further Results on the Weak Instruments Problem of the System GMM Estimator in Dynamic Panel Data Models (2020)
  • Author(s): Hayakawa Kazuhiko、Qi Meng
  • Journal Title: Oxford Bulletin of Economics and Statistics Volume: 82 Issue: 2 Pages: 453-481
  • DOI: 10.1111/obes.12336
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] The weak-instruments problem in factor models (2020)
  • Author(s): Hayakawa Kazuhiko
  • Journal Title: Behaviormetrika Volume: 47 Issue: 1 Pages: 123-157
  • DOI: 10.1007/s41237-019-00097-1
  • Peer Reviewed
• [Journal Article] Double Filter Instrumental Variable Estimation of Panel Data Models with Weakly Exogenous Variables (2020)
  • Author(s): Kazuhiko. Hayakawa, Meng. Qi and Jeorg. Breitung
  • Journal Title: Econometric Reviews Volume: 印刷中
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Examining the Feldstein?Horioka puzzle using common factor panels and interval estimation (2018)
  • Author(s): Ginama Isamu、Hayakawa Kazuhiko、Kanmei Takahiro
  • Journal Title: Japan and the World Economy Volume: 48 Pages: 11-21
  • DOI: 10.1016/j.japwor.2018.06.001
  • Peer Reviewed
• [Journal Article] Alternative over-identifying restriction test in the GMM estimation of panel data models (2018)
  • Author(s): Hayakawa Kazuhiko
  • Journal Title: Econometrics and Statistics Volume: - Pages: 71-95
  • DOI: 10.1016/j.ecosta.2018.06.002
  • Peer Reviewed
• [Journal Article] Estimation of time-varying coefficient dynamic panel data models (2018)
  • Author(s): Hayakawa Kazuhiko、Hou Jie
  • Journal Title: Communications in Statistics - Theory and Methods Volume: - Issue: 13 Pages: 1-14
  • DOI: 10.1080/03610926.2018.1476704
  • Peer Reviewed / Int'l Joint Research
• [Journal Article] Corrected standard errors for optimal minimum distance estimator (2018)
  • Author(s): K. Hayakawa
  • Journal Title: Economics Letters Volume: 167 Pages: 5-9
  • DOI: 10.1016/j.econlet.2018.02.029
  • Peer Reviewed
• [Presentation] A robust approach to heteroskedasticity, serial correlation and slope heterogeneity for large linear panel data models (2019)
  • Author(s): Kazuhiko Hayakawa
  • Organizer: The 13th International Conference on Computational and Financial Econometrics (CFE 2019)
  • Int'l Joint Research
• [Presentation] Covariance Structure Analysis of Panel Regression Models (2019)
  • Author(s): Kazuhiko Hayakawa
  • Organizer: 科学研究プロジェクト「経済統計・政府統計の理論と応用」研究集会
• [Presentation] Double Filter Instrumental Variable Estimation of Panel Data Models with Weakly Exogenous Variables (2018)
  • Author(s): Kazuhiko. Hayakawa
  • Organizer: The 24th International Panel Data Conference
  • Int'l Joint Research / Invited
• [Presentation] Covariance Structure Analysis of Panel Regression Models (2018)
  • Author(s): Kazuhiko Hayakawa
  • Organizer: The 4th International Conference of Economics Forum of Asia Pacific Economy
  • Int'l Joint Research / Invited
• [Presentation] Covariance Structure Analysis of Panel Regression Models (2018)
  • Author(s): Kazuhiko Hayakawa
  • Organizer: Statistical Penalisation Methods and Dimension Reduction Methods for Economic and Financial Analysis(York - Hiroshima Joint Symposium 2018)
  • Int'l Joint Research / Invited
• [Presentation] Covariance Structure Analysis of Panel Regression Models (2018)
  • Author(s): Kazuhiko Hayakawa
  • Organizer: BK21PLUS Korean Economic Group International Conference on Econometrics
  • Int'l Joint Research / Invited
• [Presentation] Double Filter Instrumental Variable Estimation of Panel Data Models with Weakly Exogenous Variables (2018)
  • Author(s): K. Hayakawa
  • Organizer: 28th Australia New Zealand Econometric Study Group Meeting
  • Int'l Joint Research
• [Presentation] Corrected Goodness-of-Fit Test in Covariance Structure Analysis (2017)
  • Author(s): K. Hayakawa
  • Organizer: International Meeting of Psychometric Society 2017
  • Int'l Joint Research