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Applications of spatio-temporal models to economic data

Research Project

Project/Area Number 20730144
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Economic statistics
Research InstitutionChiba University

Principal Investigator

KAKAMU Kazuhiko  Chiba University, 法経学部, 准教授 (00456005)

Project Period (FY) 2008 – 2010
Project Status Completed (Fiscal Year 2010)
Budget Amount *help
¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000)
Fiscal Year 2010: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2009: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2008: ¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Keywords時空間計量モデル / マルコフ連鎖モンテカルロ法 / タルコフ連鎖モンテカルロ法
Research Abstract

This research considers the properties of the parameters in spatio-temporal models and applied to the economic data extending the models. We examined electricity demand, crime, business cycle and so on. From the results of the properties of the parameters, we can confirm the importance of incorporating spatial interaction in the econometric models. From the empirical results, we find that the spatial interactions play important roles in economic activities.

Report

(4 results)
  • 2010 Annual Research Report   Final Research Report ( PDF )
  • 2009 Annual Research Report
  • 2008 Annual Research Report
  • Research Products

    (31 results)

All 2011 2010 2009 2008

All Journal Article (14 results) (of which Peer Reviewed: 7 results) Presentation (17 results)

  • [Journal Article] Production technology and agglomeration for Japanese prefectures during 1991-20002011

    • Author(s)
      Kakamu, K., W.Polasek, H.Wago
    • Journal Title

      forthcoming in Papers in Regional Science.

    • Related Report
      2010 Final Research Report
  • [Journal Article] On the roles of spatial interactions and heteroscedasticity in crime modeling2011

    • Author(s)
      Kakamu, K., Y.Ohtsuka, S.Arasawa
    • Journal Title

      forthcoming in (A.E.Hasselm ed) Crime : Causes, Types and Victims, (Nova Science Publishers.)

    • Related Report
      2010 Final Research Report
  • [Journal Article] On the roles of spatial interactions and heteroscedasticity in crime modeling2011

    • Author(s)
      Kakamu, Kazuhiko, Yoshihiro Ohtsuka, Syuhei Arasawa
    • Journal Title

      Crime : Causes, Types and Victims

      Volume: (近刊)

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Production technology and agglomeration for Japanese prefectures during 1991-20002011

    • Author(s)
      I Kakamu, Kazuhiko, Wolfgang Polasek, Hajime Wago
    • Journal Title

      Papers in Regional Science

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Forecasting electricity demand in Japan : A Bayesian spatial autoregressive ARMA approach2010

    • Author(s)
      Ohtsuka, Y., T.Oga, K.Kakamu
    • Journal Title

      Computational Statistics & Data Analysis 54

      Pages: 2721-2735

    • Related Report
      2010 Final Research Report
  • [Journal Article] Estimation of regional business cycle in Japan using Bayesian panel spatial autoregressive approach2010

    • Author(s)
      Kakamu, K., H.Wago, H.Tanizaki
    • Journal Title

      (T.P.Nolin ed) Handbook of Regional Economics, (Nova SciencePublishers)

      Pages: 555-571

    • Related Report
      2010 Final Research Report
  • [Journal Article] Estimation of electric demand in Japan : A Bayesian spatial autoregressive AR(p) approach2010

    • Author(s)
      Ohtsuka, Y., K.Kakamu
    • Journal Title

      (L.V.Schwartz ed) Inflation : Causes and Effects, (Nova Science Publishers)

      Pages: 156-178

    • Related Report
      2010 Final Research Report
  • [Journal Article] Forecasting electricity demand in Japan : A Bayesian spatial ARMA model2010

    • Author(s)
      Ohtsuka, Yoshihiro, Takashi Oga, Kazuhiko Kakamu
    • Journal Title

      Computational Statistics & Data Analysis

      Volume: 54 Pages: 2721-2735

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Estimation of regional business cycle in Japan using Bayesian panel spatial autoregressive approach2010

    • Author(s)
      Kakamu, Kazuhiko, Hajime Wag, Hisashi Tanizaki
    • Journal Title

      Handbook of Regional Economics

      Volume: (近刊) Pages: 555-571

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Small sample properties and model choice in spatial models : A Bayesian approach2009

    • Author(s)
      Kakamu, K.
    • Journal Title

      Far East Journal of Applied Mathematics 34

      Pages: 31-56

    • Related Report
      2010 Final Research Report
  • [Journal Article] Estimation of Electric Demand in Japan : A Bayesian Spatial Autoregressive AR(p) Approach2009

    • Author(s)
      Y.Ohtsuka, K.Kakamu
    • Journal Title

      Inflation : Causes and Effects

      Pages: 165-178

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Small Sample Properties and Model Choice in Spatial Models : A Bayesian Approach2009

    • Author(s)
      K. Kakamu
    • Journal Title

      Far East Journal of Applied Mathematics 34

      Pages: 31-56

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Small-sample properties of panel spatial autoregressive models : Comparison of the Bayesian and maximum likelihood methods2008

    • Author(s)
      Kakamu, K., H.Wago
    • Journal Title

      Spatial Economic Analysis 3

      Pages: 305-319

    • Related Report
      2010 Final Research Report
  • [Journal Article] Small Sample Properties of Panel Spatial Autoregressive Model : Comparison of the Bayesian and Maximum Likelihood Methods2008

    • Author(s)
      K. Kakamu and H. Wago
    • Journal Title

      Spatial Economic Analysis 3

      Pages: 305-319

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Presentation] School choice effects in Tokyo 23-special wards in Japan : A Bayesian spatial quantile regression approach2011

    • Author(s)
      各務和彦
    • Organizer
      International Workshop on Applied Bayesian Statistics and Econometrics
    • Place of Presentation
      京都私学会館
    • Related Report
      2010 Annual Research Report 2010 Final Research Report
  • [Presentation] Posterior analysis of fatal traffic accidents on Hokkaido prefecture in Japan2010

    • Author(s)
      各務和彦
    • Organizer
      日本経済学会2010年度春季大会
    • Place of Presentation
      千葉大学
    • Related Report
      2010 Annual Research Report 2010 Final Research Report
  • [Presentation] Spatio-temporal dynamics in economic growth2010

    • Author(s)
      各務和彦
    • Organizer
      International Workshop on Bayesian Econometrics and Statistics
    • Place of Presentation
      University of Tokyo.
    • Related Report
      2010 Final Research Report
  • [Presentation] Spatio-temporal Dynamics in Economic Growth2010

    • Author(s)
      各務和彦
    • Organizer
      International Workshop on Bayesian Econometrics and Statistics
    • Place of Presentation
      東京大学
    • Related Report
      2009 Annual Research Report
  • [Presentation] Spatio-temporal dynamics in economic growth2009

    • Author(s)
      各務和彦
    • Organizer
      3^<rd> International Conference on Computational and Financial Econometrics
    • Place of Presentation
      Limassol Cyprus.
    • Related Report
      2010 Final Research Report
  • [Presentation] Posterior analysis of fatal traffic accidents on Hokkaido prefecture in Japan2009

    • Author(s)
      各務和彦
    • Organizer
      4^<th> Japanese and European Bayesian Econometrics and Statistics Meeting
    • Place of Presentation
      University of Pompeu Fabre Spain.
    • Related Report
      2010 Final Research Report
  • [Presentation] Comparison of the sampling efficiency in spatial autoregressive model2009

    • Author(s)
      各務和彦
    • Organizer
      2009年度日本応用経済学会春季大会
    • Place of Presentation
      名古屋大学
    • Related Report
      2010 Final Research Report
  • [Presentation] Bayesian Spatial Autoregressive Probit Model with an Application to Business Cycle in Japan2009

    • Author(s)
      各務和彦
    • Organizer
      International Conference of Econometrics and the World Economy
    • Place of Presentation
      Fukuoka University
    • Related Report
      2010 Final Research Report
  • [Presentation] Comparison of the Sampling Efficiencies in Spatial Autoregressive Model2009

    • Author(s)
      各務和彦
    • Organizer
      2009年度日本応用経済学会春季大会
    • Place of Presentation
      名古屋大学
    • Related Report
      2009 Annual Research Report
  • [Presentation] Posterior Analysis of Fetal Traffic Accidents on Hokkaido Prefecture in Japan2009

    • Author(s)
      各務和彦
    • Organizer
      4^<th> Japanese and European Bayesian Econometrics and Statistics Meeting
    • Place of Presentation
      University of Pompeu Fabre, Barcelona, Spain
    • Related Report
      2009 Annual Research Report
  • [Presentation] Spatio-temporal Dynamics in Economic Growth2009

    • Author(s)
      各務和彦
    • Organizer
      3^<rd> International Conference on Computational and Financial Econometrics(CFE'09)
    • Place of Presentation
      Grand Resort Hotel, Limassol, Cyprus
    • Related Report
      2009 Annual Research Report
  • [Presentation] Bayesian Spatial Autoregressive Probit Model with an Application to Business Cycle in Japan2008

    • Author(s)
      各務和彦
    • Organizer
      Joint Meeting of 6^<th> World Conference and the Asian Regional Section of the IASC on Computational Statistics & Data Analysis
    • Place of Presentation
      Yokohama Japan.
    • Related Report
      2010 Final Research Report
  • [Presentation] Bayesian spatial autoregressive probit model with an application to business cycle in Japan2008

    • Author(s)
      各務和彦
    • Organizer
      9^<th> World Meeting for Bayesian Analysis
    • Place of Presentation
      Hamilton Island Australia.
    • Related Report
      2010 Final Research Report
  • [Presentation] Electric demand forecasting by spatial autoregressive ARMA(p,q) model2008

    • Author(s)
      各務和彦
    • Organizer
      2nd International Workshop on Computational and Financial Econometrics
    • Place of Presentation
      University of Neuchatel.
    • Related Report
      2010 Final Research Report
  • [Presentation] Electric Demand Forecasting by Spatial Autoregressive ARMA (p, q) Model2008

    • Author(s)
      K. Kakamu
    • Organizer
      2^<nd> International Workshop on Computational and Financial Econometrics
    • Place of Presentation
      University of Neuchatel
    • Related Report
      2008 Annual Research Report
  • [Presentation] Bayesian Spatial Autoregressive Probit Model with an Application to Business Cycle in Japan2008

    • Author(s)
      K. Kakamu
    • Organizer
      9^<th> World Meeting for Bayesian Analysis
    • Place of Presentation
      Hamilton Island
    • Related Report
      2008 Annual Research Report
  • [Presentation] Bayesian Spatial Autoregressive Probit Model with an Application to Business Cycle in Japan2008

    • Author(s)
      K. Kakamu
    • Organizer
      Joint Meeting for 4^<th> World Conference of the IASC and 6^<th> Conference of the Asian Regional Section of the IASC on Computational Stati sties & Data Analysis
    • Place of Presentation
      Yokohama
    • Related Report
      2008 Annual Research Report

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Published: 2008-04-01   Modified: 2016-04-21  

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