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Estimation and inferential methods for cross-sectionally dependent dynamic panel data models and their applications

Research Project

Project/Area Number 18K01545
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Review Section Basic Section 07030:Economic statistics-related
Research InstitutionOsaka University

Principal Investigator

Yamagata Takashi  大阪大学, 社会経済研究所, 特任教授(常勤) (20813231)

Project Period (FY) 2018-04-01 – 2022-03-31
Project Status Completed (Fiscal Year 2021)
Budget Amount *help
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2020: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2019: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2018: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
Keywordspanel data / factor model / co2 emission / climate change / energy consumption / panel data econometrics / environment
Outline of Final Research Achievements

First, an estimation and inferential method for dynamic panel models with cross-sectional dependence using large panel data was developed (Norkute et al., 2021). The approach was extended to a static panel model and compared its asymptotic properties with those of existing representative estimators (Cui et al., 2021). In addition, estimation and inferential methods for weak factor models were developed (Uematsu and Yamagata.,2021,2022). Finally, the impact of the COVID-19 pandemic on global fossil fuel consumption and CO2 emissions over the two-year period 2020Q1-2021Q4 was assessed using quarterly panel data for 32 countries in a global dynamic panel model (Smith, Tarui and Yamagata, 2021).

Academic Significance and Societal Importance of the Research Achievements

各国・地域経済の時空間相互依存の複雑化が増々深化した今日、ビッグデータを使用した国・地域の時空間相互依存分析に適した新たなモデルおよびその統計的推定・検定法の開発が待ち望まれている。本研究で開発した統計手法は経済・金融を含めた様々な分野において応用が期待される。さらに本研究では32国の四半期化石燃料消費データを使用し、COVID-19パンデミックが化石燃料消費と炭素排出に与える影響をグローバル動学パネルモデルを使い予測評価した。その結果によれば、2021年中に世界炭素排出量は危機前の水準に戻ると予測され、パンデミックは各国に気候変動緩和の取り組みを遅らせる強い理由にはならないと結論・提言した。

Report

(5 results)
  • 2021 Annual Research Report   Final Research Report ( PDF )
  • 2020 Research-status Report
  • 2019 Research-status Report
  • 2018 Research-status Report
  • Research Products

    (20 results)

All 2022 2021 2020 2019 2018

All Journal Article (14 results) (of which Int'l Joint Research: 13 results,  Peer Reviewed: 6 results,  Open Access: 7 results) Presentation (6 results) (of which Int'l Joint Research: 6 results,  Invited: 2 results)

  • [Journal Article] Estimation of Sparsity-Induced Weak Factor Models2022

    • Author(s)
      Uematsu Yoshimasa、Yamagata Takashi
    • Journal Title

      Journal of Business & Economic Statistics

      Volume: Forthcoming Issue: 1 Pages: 1-15

    • DOI

      10.1080/07350015.2021.2008405

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Two-stage instrumental variable estimation of linear panel data models with interactive effects2021

    • Author(s)
      Cui Guowei、Norkute Milda、Sarafidis Vasilis、Yamagata Takashi
    • Journal Title

      The Econometrics Journal

      Volume: Forthcoming Issue: 2 Pages: 340-361

    • DOI

      10.1093/ectj/utab029

    • NAID

      40022501525

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions2021

    • Author(s)
      Smith L. Vanessa、Tarui Nori、Yamagata Takashi
    • Journal Title

      Energy Economics

      Volume: 97 Pages: 105170-105170

    • DOI

      10.1016/j.eneco.2021.105170

    • Related Report
      2021 Annual Research Report 2020 Research-status Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Inference in Sparsity-Induced Weak Factor Models2021

    • Author(s)
      Uematsu Yoshimasa、Yamagata Takashi
    • Journal Title

      Journal of Business & Economic Statistics

      Volume: Forthcoming Issue: 1 Pages: 1-14

    • DOI

      10.1080/07350015.2021.2003203

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure2021

    • Author(s)
      Norkute Milda、Sarafidis Vasilis、Yamagata Takashi、Cui Guowei
    • Journal Title

      Journal of Econometrics

      Volume: 220 Issue: 2 Pages: 416-446

    • DOI

      10.1016/j.jeconom.2020.04.008

    • NAID

      40022347141

    • Related Report
      2020 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects2020

    • Author(s)
      Cui Guowei、Norkute Milda、Sarafidis Vasilis、Yamagata Takashi
    • Journal Title

      SSRN Electronic Journal

      Volume: -

    • DOI

      10.2139/ssrn.3692123

    • NAID

      40022501525

    • Related Report
      2020 Research-status Report
    • Open Access / Int'l Joint Research
  • [Journal Article] IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk2020

    • Author(s)
      Cui Guowei、Sarafidis Vasilis、Yamagata Takashi
    • Journal Title

      SSRN Electronic Journal

      Volume: -

    • DOI

      10.2139/ssrn.3642451

    • Related Report
      2020 Research-status Report
    • Open Access / Int'l Joint Research
  • [Journal Article] Estimation of Weak Factor Models2020

    • Author(s)
      Uematsu Yoshimasa、Yamagata Takashi
    • Journal Title

      SSRN Electronic Journal

      Volume: -

    • DOI

      10.2139/ssrn.3374750

    • NAID

      40022347318

    • Related Report
      2020 Research-status Report
    • Open Access
  • [Journal Article] Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure2020

    • Author(s)
      Norkute, M., Sarafidis, V., Yamagata, T., Cui, G.
    • Journal Title

      Journal of Econometrics

      Volume: Forthcoming

    • Related Report
      2019 Research-status Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Inference in Weak Factor Models2020

    • Author(s)
      Uematsu, Y., Yamagata, T.
    • Journal Title

      ISER Discussion Paper

      Volume: 1080 Pages: 1-43

    • NAID

      40022347533

    • Related Report
      2019 Research-status Report
    • Open Access / Int'l Joint Research
  • [Journal Article] A Robust Approach to Heteroskedasticity, Error Serial Correlation and Slope Heterogeneity for Large Linear Panel Data Models with Interactive Effects2019

    • Author(s)
      Cui, G., Hayakawa, K., Nagata, S., Yamagata, T
    • Journal Title

      ISER Discussion Paper

      Volume: 1037 Pages: 1-62

    • NAID

      40022347221

    • Related Report
      2019 Research-status Report
    • Open Access / Int'l Joint Research
  • [Journal Article] Estimation of Weak Factor Models2019

    • Author(s)
      Uematsu, Y., Yamagata, T.
    • Journal Title

      ISER Discussion Paper

      Volume: 1053 Pages: 1-44

    • NAID

      40022347318

    • Related Report
      2019 Research-status Report
    • Open Access / Int'l Joint Research
  • [Journal Article] Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure2018

    • Author(s)
      Norkute Milda、Sarafidis Vasilis、Yamagata Takashi
    • Journal Title

      SSRN Electronic Journal

      Volume: 0 Pages: 0-0

    • DOI

      10.2139/ssrn.3123490

    • NAID

      40022347141

    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Journal Article] A Robust Approach to Heteroskedasticity, Error Serial Correlation and Slope Heterogeneity for Large Linear Panel Data Models with Interactive Effects2018

    • Author(s)
      Hayakawa Kazuhiko、Nagata Shuichi、Yamagata Takashi
    • Journal Title

      SSRN Electronic Journal

      Volume: 0 Pages: 0-0

    • DOI

      10.2139/ssrn.3215661

    • NAID

      40022347221

    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] Estimation of Weak Factor Models2020

    • Author(s)
      Yamagata Takashi
    • Organizer
      Econometric Society World Congress 2020, Bocconi
    • Related Report
      2020 Research-status Report
    • Int'l Joint Research
  • [Presentation] "A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects"2019

    • Author(s)
      山形 孝志
    • Organizer
      Asian Meeting of the Econometric Society 2019, Xiamen
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] "Estimation of Weak Factor Models"2019

    • Author(s)
      山形 孝志
    • Organizer
      NBER-NFS time series conference 2019, Chinese University of Hong Kong
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research / Invited
  • [Presentation] "A robust approach to heteroskedasticity, error serial correlation and slope heterogeneity for large linear panel data models with interactive effects"2019

    • Author(s)
      山形 孝志
    • Organizer
      Econometric Society European Meeting 2019, Manchester
    • Related Report
      2019 Research-status Report
    • Int'l Joint Research
  • [Presentation] Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure2018

    • Author(s)
      Takashi Yamagata
    • Organizer
      2018 IAAE Annual Conference
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research
  • [Presentation] Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities2018

    • Author(s)
      Takashi Yamagata
    • Organizer
      2018 EUROPEAN MEETING OF THE ECONOMETRIC SOCIETY
    • Related Report
      2018 Research-status Report
    • Int'l Joint Research

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Published: 2018-04-23   Modified: 2023-01-30  

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