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Improving an instrumental variables estimator in dynamic panel data models

Research Project

Project/Area Number 20830056
Research Category

Grant-in-Aid for Young Scientists (Start-up)

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

Principal Investigator

HAYAKAWA Kazuhiko  Hiroshima University, 大学院・社会科学研究科, 講師 (00508161)

Project Period (FY) 2008 – 2009
Project Status Completed (Fiscal Year 2009)
Budget Amount *help
¥2,847,000 (Direct Cost: ¥2,190,000、Indirect Cost: ¥657,000)
Fiscal Year 2009: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2008: ¥1,547,000 (Direct Cost: ¥1,190,000、Indirect Cost: ¥357,000)
Keywordsパネルデータモデル / 計量経済学 / パネルデータ
Research Abstract

In this project, I tried to compare and improve estimators of dynamic panel data models. Specifically, in a dynamic panel model with an exogenous variable, I investigated the behavior of the GMM estimator in several schemes which depend on how individual effects are removed and the type and number of instruments. Furthermore, related to the assumption of mean-stationarity of data, I discussed how large the improvement is by exploiting the level model which is valid only when data are mean-stationary, and how the GMM estimator behaves when mean-stationarity is violated.

Report

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

    (13 results)

All 2010 2009 2008

All Journal Article (8 results) (of which Peer Reviewed: 8 results) Presentation (5 results)

  • [Journal Article] A Simple Efficient Instrumental Variable Estimator in Panel AR(p) Models When Both N and T are Large2009

    • Author(s)
      Hayakawa, K
    • Journal Title

      Econometric Theory Vol.25,Issue3

      Pages: 873-890

    • Related Report
      2009 Final Research Report
    • Peer Reviewed
  • [Journal Article] First-Difference or Forward Orthogonal Deviation: Which Transformation to Use in Dynamic Panel Data Models?: A Simulation Study2009

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

      Economics Bulletin Vol.29,no.3

      Pages: 2014-2023

    • Related Report
      2009 Final Research Report
    • Peer Reviewed
  • [Journal Article] On the Effect of Mean-Nonstationarity in Dynamic Panel Data Models2009

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

      ournal of Econometrics Vol.153,Issue2

      Pages: 133-135

    • NAID

      120001898381

    • Related Report
      2009 Final Research Report
    • Peer Reviewed
  • [Journal Article] The Asymptotic Properties of Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors2009

    • Author(s)
      Kurozumi, E., K. Hayakawa
    • Journal Title

      Journal of Econometrics Vol.149,Issue2

      Pages: 118-135

    • NAID

      120001267765

    • Related Report
      2009 Final Research Report
    • Peer Reviewed
  • [Journal Article] On the Effect of Mean-Nonstationarity in Dynamic Panel Data Models2009

    • Author(s)
      Kazuhiko Hayakawa
    • Journal Title

      Journal of Econometrics 153

      Pages: 133-135

    • NAID

      120001898381

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] A Simple Efficient Instrumental Variable Estimator in Panel AR(p)Models When Both N and T are Large2009

    • Author(s)
      Kazuhiko Hayakawa
    • Journal Title

      Econometric Theory 25

      Pages: 873-890

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Asymptotic Properties of Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors2009

    • Author(s)
      Kazuhiko Hayakawa
    • Journal Title

      Journal of Econometrics 149

      Pages: 118-135

    • NAID

      120001267765

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] The Role of “Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models2008

    • Author(s)
      kazuhiko Hayakawa Eiji Kurozumi
    • Journal Title

      Mathematics and Computers in Simulation 79

      Pages: 555-560

    • NAID

      120001267764

    • Related Report
      2008 Annual Research Report
    • Peer Reviewed
  • [Presentation] On the Behavior of the GMM estimator in Persistent Dynamic Panel Data Models with Unrestricted Initial Conditions2010

    • Author(s)
      Hayakawa, K.
    • Organizer
      Mini-Conference on Econometric Theory and Its Applications
    • Place of Presentation
      Singapore Management University, Singapore
    • Year and Date
      2010-03-25
    • Related Report
      2009 Final Research Report
  • [Presentation] On the Effect of Nonstationary Initial Conditions in Dynamic Panel Data Models2009

    • Author(s)
      早川和彦
    • Organizer
      ファイナンスと計量経済学の最近の発展
    • Place of Presentation
      琉球大学
    • Year and Date
      2009-02-15
    • Related Report
      2009 Final Research Report
  • [Presentation] On the Effect of Nonstationary Initial Conditions in Dynamic Panel Data Models2008

    • Author(s)
      早川和彦
    • Organizer
      統計関連学会連合大会
    • Place of Presentation
      慶應義塾大学
    • Year and Date
      2008-09-09
    • Related Report
      2009 Final Research Report
  • [Presentation] The Asymptotic Properties of the System GMM Estimator in Dynamic Panel Data Models When Both N and T are Large2008

    • Author(s)
      Hayakawa, K.
    • Organizer
      Econometric Society European Meeting
    • Place of Presentation
      Milan, Italy
    • Year and Date
      2008-08-30
    • Related Report
      2009 Final Research Report
  • [Presentation] The Asymptotic Properties of the System GMM Estimator in Dynamic Panel Data Models When Both N and T are Large2008

    • Author(s)
      Kazuhiko Hayakawa
    • Organizer
      Econometric Society European Meeting
    • Place of Presentation
      Bocconi大学(イタリア)
    • Year and Date
      2008-08-27
    • Related Report
      2008 Annual Research Report

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

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