Econometric analysis of nonstationary panel times series

• Project/Area Number: 20530180
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Kobe University
• Principal Investigator: HAMORI Shigeyuki 神戸大学, 大学院・経済学研究科, 教授 (60189628)
• Project Period (FY): 2008 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000); Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2010: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2009: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2008: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
• Keywords: 計量経済学 / パネルデータ / 非定常時系列 / 非定常パネル時系列分析

Research Abstract

This research topic is one of the most advancing research areasin recent econometric analysis and is useful when the sample size obtained from time series data is small. This project focuses on the following two points.
(1) We apply various types of nonstationary panel time series techniques to actual data, and examine the economic implications of empirical results.
(2) We analyze the small sample properties of CIPS test developed by Pesaran (2007).

Research Products

• [Journal Article] Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity (2012)
  • Author(s): Hamori Shigeyuki and Hashiguchi Yoshihiro
  • Journal Title: Economics Bulletin Volume: Vol.32 Pages: 2353-2365
  • URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I3-P228.pdf
  • Peer Reviewed
• [Journal Article] The sustainability of trade balances in Sub-Saharan Africa: Panel cointegration tests with cross section dependence (2012)
  • Author(s): Hashiguchi Yoshihiro and HamoriShigeyuki
  • Journal Title: The sustainability of trade balances in Sub-Saharan Africa: Panel cointegration tests with cross section dependence Volume: Vol.19 Pages: 161-165
  • URL: http://hdl.handle.net/10.1080/13504851.2011.570702
  • Peer Reviewed
• [Journal Article] The sustainability of trade balances in Sub-Saharan Africa : Panel cointegration tests with cross section dependence (2012)
  • Author(s): Hashiguchi, Y., Hamori, S.
  • Journal Title: Applied Economics Letters Volume: Vol.19(2) Pages: 161-165
  • Peer Reviewed
• [Journal Article] Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan (2011)
  • Author(s): Toyoshima Hiroki. and Hamori Shigeyuki
  • Journal Title: Economics Bulletin Volume: Vol.31 Pages: 3674-3682
  • URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P240.pdf
  • Peer Reviewed
• [Journal Article] Panel cointegration analysis of the Fisher effect : Evidence from the US, the UK, and Japan (2011)
  • Author(s): Toyoshima, Y., Hamori, S.
  • Journal Title: Economics Bulletin Volume: Vol.31(3) Pages: 2674-2682
  • Peer Reviewed
• [Journal Article] Change in consumer sensitivity to electricity prices in response to retail deregulation: A panel empirical analysis of the residential demand for electricity in the United States (2010)
  • Author(s): Nakajima Tadahiro and Hamori Shigeyuki
  • Journal Title: Energy Policy Volume: Vol.38 Pages: 2470-2476
  • URL: http://www.sciencedirect.com/science/article/B6V2W-4Y4XCVK-6/2/28de2d40133e2c077c862e6553fe33f0
  • Peer Reviewed
• [Journal Article] Change in consumer sensitivity to electricity prices in response to retail deregulation : A panel empirical analysis of the residential demand for electricity in the United States (2010)
  • Author(s): Nakajima Tadahiro, Hamori Shigeyuki
  • Journal Title: Energy Policy Vol.38 Pages: 2470-2476
  • Peer Reviewed
• [Journal Article] Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity (2010)
  • Author(s): Hashiguchi Yoshihiro, Hamori Shigeyuki
  • Journal Title: MPRA Paper No.24063 Pages: 1-22
• [Journal Article] Change in consumer sensitivity to electricity prices in response to retail deregulation : a panel empirical analysis of the residential demand for electricity in the United States (2010)
  • Author(s): Nakajima, T., Hamori, S.
  • Journal Title: Energy Policy Volume: Vol.38 No.5 Pages: 2470-2476
  • Peer Reviewed
• [Journal Article] Small sample properties of CIPS panel unit root test under conditional and unconditional heteroscedasticity (2010)
  • Author(s): Hashiguchi, Y., Hamori, S.
  • Journal Title: MPRA Paper Volume: No.24063 Pages: 1-22
• [Journal Article] Saving-investment relationship and capital mobility: Evidence from Chinese provincial Data, 1980-2007 (2009)
  • Author(s): Hashiguchi Yoshihiro and Hamori Shigeyuki
  • Journal Title: Economics Bulletin Volume: Vol.29 Pages: 1981-1989
  • URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I3-P46.pdf
  • Peer Reviewed
• [Journal Article] Empirical analysis of import demand behavior of least developed countries (2009)
  • Author(s): Matsubayashi Yoichi and Hamori Shigeyuki
  • Journal Title: Economics Bulletin Volume: Vol.29 Pages: 1460-1475
  • URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I2-P87.pdf
  • Peer Reviewed
• [Journal Article] Empirical analysis of export demand behavior of LDC's: Panel cointegration approach (2009)
  • Author(s): Hamori Shigeyuki and Matsubayashi Yoichi
  • Volume: Vol.29
  • Pages: 1996-2005
  • URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I3-P47.pdf
  • Peer Reviewed
• [Journal Article] International term structure of interest rates in the Euro area (2009)
  • Author(s): Hamori Shigeyuki and Hamori Naoko
  • Journal Title: Applied Economics Letters Volume: Vol.16 Pages: 1113-1116
  • URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/17446540802389040&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
  • Peer Reviewed
• [Journal Article] On the sustainability of budget deficits in the Euro area (2009)
  • Author(s): Hamori Shigeyuki. and Hamori Naoko
  • Journal Title: Economics Bulletin Volume: Vol.29 Pages: 56-66
  • NAID: 120001740148
  • URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I1-P5.pdf
  • Peer Reviewed
• [Journal Article] On the sustainability of budget deficits in the Euro area (2009)
  • Author(s): Hamori Shigeyuki., Hamori Naoko
  • Journal Title: Economics Bulletin Vol.29 Pages: 56-66
  • NAID: 120001740148
  • Peer Reviewed
• [Journal Article] International term structure of interest rates in the Euro area (2009)
  • Author(s): Hamori Shigeyuki, Hamori Naoko
  • Journal Title: Applied Economics Letters Vol.16 Pages: 1113-1116
  • Peer Reviewed
• [Journal Article] Empirical analysis of export demand behavior of LDC' s : Panel cointegration approach (2009)
  • Author(s): Hamori Shigeyuki, Matsubayashi Yoichi
  • Journal Title: Vol.29 Pages: 1996-2005
  • Peer Reviewed
• [Journal Article] Empirical analysis of import demand behavior of least developed countries (2009)
  • Author(s): Matsubayashi Yoichi, Hamori Shigeyuki
  • Journal Title: Economics Bulletin Vol.29 Pages: 1460-1475
  • Peer Reviewed
• [Journal Article] Saving-investment relationship and capital mobility : Evidence from Chinese provincial Data, 1980-2007 (2009)
  • Author(s): Hashiguchi Yoshihiro, Hamori Shigeyuki
  • Journal Title: Economics Bulletin Vol.29 Pages: 1981-1989
  • Peer Reviewed
• [Journal Article] International Term Structure of Interest Rates in the Euro Area (2009)
  • Author(s): Hamori, S., Hamori, N.
  • Journal Title: Applied Economics Letters Vol.16 No.11 Pages: 1113-1116
  • Peer Reviewed
• [Journal Article] Empirical Analysis of Export Demand Behavior of LDC's : Panel Cointegration Approach (2009)
  • Author(s): Hamori, S., Matsubayashi, Y.
  • Journal Title: Economics Bulletin Vol.29 No.3 Pages: 1996-2005
  • Peer Reviewed
• [Journal Article] Empirical Analysis of Import Demand Behavior of Least Developed Countries (2009)
  • Author(s): Matsubayashi, Y., Hamori, S.
  • Journal Title: Economics Bulletin Vol.29 No.2 Pages: 1460-1475
  • Peer Reviewed
• [Journal Article] Saving-Investment Relationship and Capital Mobility : Evidence from Chinese Provincial Data, 1980-2007 (2009)
  • Author(s): Hashiguchi, Y., Hamori, S.
  • Journal Title: Economics Bulletin Vol.29 No.3 Pages: 1981-1989
  • Peer Reviewed
• [Journal Article] On the Sustainability of Budget Deficits in the Euro Area (2009)
  • Author(s): Hamori, S., N. Hamori
  • Journal Title: Economics Bulletin Vol. 29 No. 1 Pages: 56-66
  • NAID: 120001740148
  • Peer Reviewed