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Econometric analysis of time series and panel data using factor models and penalization methods: theory and applications

Research Project

Project/Area Number 20H01484
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Review Section Basic Section 07030:Economic statistics-related
Research InstitutionHiroshima University

Principal Investigator

Hayakawa Kazuhiko  広島大学, 人間社会科学研究科(社), 教授 (00508161)

Co-Investigator(Kenkyū-buntansha) 山田 宏  広島大学, 人間社会科学研究科(社), 教授 (90292078)
山形 孝志  大阪大学, 社会経済研究所, 特任教授(常勤) (20813231)
植松 良公  一橋大学, ソーシャル・データサイエンス教育研究推進センター, 准教授 (40835279)
Project Period (FY) 2020-04-01 – 2023-03-31
Project Status Completed (Fiscal Year 2023)
Budget Amount *help
¥17,550,000 (Direct Cost: ¥13,500,000、Indirect Cost: ¥4,050,000)
Fiscal Year 2022: ¥6,370,000 (Direct Cost: ¥4,900,000、Indirect Cost: ¥1,470,000)
Fiscal Year 2021: ¥5,850,000 (Direct Cost: ¥4,500,000、Indirect Cost: ¥1,350,000)
Fiscal Year 2020: ¥5,330,000 (Direct Cost: ¥4,100,000、Indirect Cost: ¥1,230,000)
Keywordsパネルデータ / 時系列データ / ファクターモデル / 罰則化法 / トレンド / ホドリック・プレスコット・フィルター / 景気循環成分 / Asset pricing / 共トレンド推定 / 罰則項付縮小ランク回帰 / Weak factors / Multiple testing
Outline of Research at the Start

本研究課題では,ファクターモデルと罰則化法を用いて,時系列・パネルデータを分析するための新しい統計手法を開発し,関連する実証研究を行う。初年度は、各研究課題ごとに関連する研究をサーベイする。特に、いくつかの研究テーマは、国内外で非常に活発に研究が行われているため、本研究課題との関連性を詳細に考察する。2年目は各研究課題ごとに理論的考察や数値実験など、具体的な研究を進めていく。最終年度は、前年度まで得られた研究成果をとりまとめ、研究集会や学会などで研究報告し、査読付き雑誌への投稿を目指す。

Outline of Final Research Achievements

In this research project, we developed new statistical methods for time series and panel data analysis using factor models and penalization methods. These include (1) development of statistical inference methods robust to serial correlation, heteroskedasticity, and slope heterogeneity in panel regression models where the error term has a factor structure, (2) development of new estimators for panel regression models with dynamics, endogeneity, and factor error structure, (3) development of methods for extracting trend components from multivariate time series data and their application to the Japanese economy, and (4) development of estimation and inference methods for weak factor models induced by sparsity. Some of these have already been published in leading journals.

Academic Significance and Societal Importance of the Research Achievements

上記(1)のロバストな推測方法は,実証分析では非常に有用な方法であり,今後広く使用されるようになる可能性がある。(2)の新しい推定量は,様々なモデルの統一的に推定することを可能にしている。(3)の多変量時系列データからトレンドを抽出する方法は,世界各国の様々なデータに適用可能である。(4)のWeakファクターモデルの推定と推測に関しては,本研究結果が嚆矢となり,現在,関連する様々な研究が行われている。以上のことから,本研究課題で得られた成果は,一定のインパクトを持っていると言える。

Report

(4 results)
  • 2023 Final Research Report ( PDF )
  • 2022 Annual Research Report
  • 2021 Annual Research Report
  • 2020 Annual Research Report
  • Research Products

    (19 results)

All 2023 2022 2021 2020 Other

All Int'l Joint Research (2 results) Journal Article (10 results) (of which Int'l Joint Research: 7 results,  Peer Reviewed: 10 results,  Open Access: 5 results) Presentation (6 results) (of which Int'l Joint Research: 6 results,  Invited: 1 results) Book (1 results)

  • [Int'l Joint Research] University of Cologne(ドイツ)

    • Related Report
      2020 Annual Research Report
  • [Int'l Joint Research] University of Exeter(英国)

    • Related Report
      2020 Annual Research Report
  • [Journal Article] Short T Dynamic Panel Data Models with Individual,Time and Interactive Effects2023

    • Author(s)
      Hayakawa Kazuhiko、Pesaran M. Hashem、Smith L. Vanessa
    • Journal Title

      Journal of Applied Econometrics

      Volume: 38 Issue: 6 Pages: 940-967

    • DOI

      10.1002/jae.2981

    • Related Report
      2022 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities2023

    • Author(s)
      Pesaran M Hashem、Yamagata Takashi
    • Journal Title

      Journal of Financial Econometrics

      Volume: 22 Issue: 2 Pages: 407-460

    • DOI

      10.1093/jjfinec/nbad002

    • NAID

      40022347000

    • Related Report
      2022 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Estimation of large covariance matrices with mixed factor structures2023

    • Author(s)
      Runyu Dai, Yoshimasa Uematsu, Yasumasa Matsuda
    • Journal Title

      The Econometrics Journal

      Volume: 27 Issue: 1 Pages: 62-83

    • DOI

      10.1093/ectj/utad018

    • Related Report
      2022 Annual Research Report
    • Peer Reviewed
  • [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] A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data2022

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

      Journal of Business and Economic Statistics

      Volume: - Issue: 3 Pages: 1-14

    • DOI

      10.1080/07350015.2022.2077349

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research
  • [Journal Article] Selection of Loss Function in Covariance Structure Analysis: Case of the Spherical Model2022

    • Author(s)
      Hayakawa Kazuhiko, Sun Qi
    • Journal Title

      Structural Equation Modeling: A Multidisciplinary Journal

      Volume: - Issue: 4 Pages: 507-520

    • DOI

      10.1080/10705511.2021.2003199

    • Related Report
      2020 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] TREND EXTRACTION FROM ECONOMIC TIME SERIES WITH MISSING OBSERVATIONS BY GENERALIZED HODRICK-PRESCOTT FILTERS2021

    • Author(s)
      Yamada Hiroshi
    • Journal Title

      Econometric Theory

      Volume: 38 Issue: 3 Pages: 419-453

    • DOI

      10.1017/s0266466621000189

    • Related Report
      2021 Annual Research Report
    • Peer Reviewed / Open Access
  • [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] $$\ell _{1}$$ Common Trend Filtering2021

    • Author(s)
      Yamada Hiroshi、Bao Ruoyi
    • Journal Title

      Computational Economics

      Volume: 59 Issue: 3 Pages: 1005-1025

    • DOI

      10.1007/s10614-021-10114-9

    • Related Report
      2020 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Bias-corrected method of moments estimators for dynamic panel data models2021

    • Author(s)
      Breitung Jorrg, Kripfganz Sebastian, Hayakawa Kazuhiko
    • Journal Title

      Econometrics and Statistics

      Volume: - Pages: 116-132

    • DOI

      10.1016/j.ecosta.2021.07.001

    • Related Report
      2020 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Presentation] Linear Panel Regression Models with Non-Classical Measurement Error: An Application to Investment Equations2023

    • Author(s)
      Kazuhiko Hayakawa
    • Organizer
      28th International Panel Data Conference
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Linear Panel Regression Models with Non-Classical Measurement Error: An Application to Investment Equations2023

    • Author(s)
      Takashi Yamagata
    • Organizer
      Econometric Society European Meeting 2023
    • Related Report
      2022 Annual Research Report
    • Int'l Joint Research
  • [Presentation] l_{1} common trend filtering: an extension2022

    • Author(s)
      Ruoyi Bao, Hiroshi Yamada, Kazuhiko Hayakawa
    • Organizer
      IASC-ARS2022
    • Related Report
      2021 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Assessing the impact of COVID-19 on global fossil fuel consumption and CO2 emissions2021

    • Author(s)
      Takashi Yamagata
    • Organizer
      Annual Conference of the European Association of Environmental and Resource Economists
    • Related Report
      2021 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Discovering the network Granger causality in large vector autoregressive models2021

    • Author(s)
      Takashi Yamagata
    • Organizer
      Dimensionality Reduction and Inference in High-Dimensional Time Series
    • Related Report
      2021 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Estimation of Weak Factor Models2020

    • Author(s)
      Takashi Yamagata
    • Organizer
      Econometric Society World Congress 2020
    • Related Report
      2020 Annual Research Report
    • Int'l Joint Research
  • [Book] 経済経営のデータサイエンス2022

    • Author(s)
      石垣 司、植松 良公、千木良 弘朗、照井 伸彦、松田 安昌、李 銀星
    • Total Pages
      248
    • Publisher
      共立出版
    • ISBN
      9784320125193
    • Related Report
      2021 Annual Research Report

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Published: 2020-04-28   Modified: 2025-01-30  

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