The measurement of economic inequality by time series models

• Project/Area Number: 21530194
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Chiba University
• Principal Investigator: NISHINO Haruhisa 千葉大学, 法経学部, 准教授 (20305410)
• Co-Investigator(Renkei-kenkyūsha): KAKAMU Kazuhiko 千葉大学, 法経学部, 准教授 (00456005) ; OGA Takashi 千葉大学, 法経学部, 准教授 (50326005)
• Project Period (FY): 2009 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2009: ¥2,730,000 (Direct Cost: ¥2,100,000、Indirect Cost: ¥630,000)
• Keywords: 所得分布 / ジニ係数 / グループ・データ / MCMC法 / 不平等度 / 時系列 / マルコフ連鎖モンテカルロ法 / 対数正規分布 / 経済格差 / 長記憶性 / 計量分析

Research Abstract

We propose a estimation and a testing based on grouped data of Family Income and Expenditure Survey. The method is given by a normal approximation of selected order statistics, and can be applied to a testing. We extend a model of the method to a stochastic volatility time series model.

Research Products

• [Journal Article] カルマン・フィルターとCSS法によるARFIMAモデルの推定 (2012)
  • Author(s): 西埜晴久, 倉田直典
  • Journal Title: 千葉大学経済研究 Volume: 第26巻 Pages: 93-124
  • NAID: 120007055601
• [Journal Article] Production technology and agglomeration for Japanese prefectures during 1991.2000 (2012)
  • Author(s): Kakamu, K., Polasek, W. Wago, H
  • Journal Title: Papers in Regional Science Volume: 91 Pages: 29-41
  • Peer Reviewed
• [Journal Article] Grouped data estimation and testing of Gini coefficients using lognormal distributions (2011)
  • Author(s): Nishino, H Kakamu, K
  • Journal Title: Sankhya B, Volume Volume: 73 Pages: 193-201
  • Peer Reviewed
• [Journal Article] EGARCHモデルについて (2011)
  • Author(s): 西埜晴久, 大津留峻
  • Journal Title: 千葉大学経済研究 Volume: 第26巻 Pages: 129-151
  • NAID: 120007064784
• [Journal Article] ベイズ計量経済学的に景気を捉える (2011)
  • Author(s): 大鋸崇
  • Journal Title: 千葉大学経済研究 Volume: 第26巻 Pages: 85-108
  • NAID: 120007065101
• [Journal Article] 地域間所得分布と所得収束仮説 (2011)
  • Author(s): 各務和彦, 和合肇, 大塚芳宏
  • Journal Title: 日本統計学会誌 Volume: 第41巻 第1号 Pages: 181-200
  • NAID: 110008790501
  • Peer Reviewed
• [Journal Article] 長記憶時系列と検定 (2011)
  • Author(s): 西埜晴久
  • Journal Title: 日本統計学会誌 Volume: 第40巻 第2号 Pages: 147-175
  • NAID: 110008513467
  • Peer Reviewed
• [Journal Article] Grouped data estimation and testing of Gini coefficients using lognormal distributions (2011)
  • Author(s): Nishino, H, Kakamu, K
  • Journal Title: Sankhya B Volume: Volume 73 Pages: 193-210
  • Peer Reviewed
• [Journal Article] 長記憶時系列と検定 (2011)
  • Author(s): 西埜晴久
  • Journal Title: 本統計学会 Volume: Vol.40 No.2 Pages: 147-175
  • NAID: 110008513467
  • Peer Reviewed
• [Journal Article] Forecasting electricity demand in Japan : A Bayesian spatial autoregressive ARMA approach (2010)
  • Author(s): Ohtsuka, Y., Oga, T. Kakamu, K
  • Journal Title: Computational Statistics & Data Analysis Volume: 54 Pages: 2721-2735
  • Peer Reviewed
• [Journal Article] ブル相場・ベア相場のベイズ分析 (2010)
  • Author(s): 大鋸崇
  • Journal Title: 千葉大学経済研究 Volume: 第25巻 Pages: 91-138
  • NAID: 40017384615
• [Journal Article] 長記憶性をもつ時系列について-ARFIMAモデルに対するパラメトリック推定 (2010)
  • Author(s): 西埜晴久
  • Journal Title: 千葉大学経済研究 Volume: 第25巻 Pages: 139-165
  • NAID: 40017384616
• [Journal Article] The Asia Financial Crises and Exchange Rates : Had there been Volatility Shifts for Asian Currencies? Classification as a Tool for Research (2010)
  • Author(s): Oga, T. Polasek, W
  • Journal Title: Studies in Classification, Data Analysis, and Knowledge Organization Pages: 629-637
  • Peer Reviewed
• [Journal Article] Bayesian Whittle estimation of ARFIMA model (2010)
  • Author(s): H. Nishino, K. Kakamu
  • Journal Title: Working Paper, Department of Economics, Chiba Univ. Volume: #10E053 Pages: 1-29
• [Journal Article] Estimation of dynamics for Income inequality by stochastic volatility model (2010)
  • Author(s): H.Nishino, K.Kakamu
  • Journal Title: Working Paper, Department of Economics, Chiba University #09E050 Pages: 1-26
• [Presentation] Estimation of ARMA models with t-innovations (2012)
  • Author(s): 西埜晴久
  • Organizer: グローバルCOE Hi-Stat経済統計若手研究会
  • Place of Presentation: 一橋大学経済研究所
• [Presentation] t分布のイノベーションをもつ時系列の推定について (2012)
  • Author(s): 西埜晴久
  • Organizer: 2011年度統計関連学会連合大会
  • Place of Presentation: 九州大学
• [Presentation] t分布のイノベーションをもつ時系列の推定について (2011)
  • Author(s): 西埜晴久
  • Organizer: 2011年度統計関連学会連合大会
  • Place of Presentation: 九州大学伊都キャンパス
  • Year and Date: 2011-09-06
• [Presentation] Bayesian Estimation of Persistent Income Inequality by Lognormal Stochastic Volatility Model (2011)
  • Author(s): Haruhisa Nishino
  • Organizer: INTERNATIONAL WORKSHOP ON APPLIED BAYESIAN STATISTICS AND ECONOMETRICS
  • Place of Presentation: Kyoto Shigaku Kaikan
  • Year and Date: 2011-02-01
• [Presentation] Bayesian estimation of Income distribution from grouped data (2011)
  • Author(s): Nishino, H, Kakamu, K
  • Organizer: 5th Japanese-European Bayesian Econometrics and Statistics Meeting (JEuBES 2011)
  • Place of Presentation: Norges Bank, Oslo, Norway
• [Presentation] Bayesian Estimation of Persistent Income Inequality by Lognormal Stochastic Volatility Model (2011)
  • Author(s): Nishino, H
  • Organizer: International Workshop on Applied Bayesian Statistics and Econometrics
  • Place of Presentation: 京都私学会館
• [Presentation] Bayesian Estimation of ARFIMA models (2010)
  • Author(s): 西埜晴久
  • Organizer: 2010年度統計関連学会連合大会
  • Place of Presentation: 早稲田大学
  • Year and Date: 2010-09-06
• [Presentation] Bayesian Estimation of ARFIMA models (2010)
  • Author(s): Haruhisa Nishino
  • Organizer: 10^<th> International Vilnius Conference on Probability Theory and Mathematical Statistics
  • Place of Presentation: Vilius University
  • Year and Date: 2010-06-30
• [Presentation] Bayesian Estimation of AR, FIMA models (2010)
  • Author(s): 西埜晴久
  • Organizer: 日本経済学会2010年度春季大会
  • Place of Presentation: 千葉大学
  • Year and Date: 2010-06-06
• [Presentation] Bayesian Whittle estimation of ARFIMA model (2010)
  • Author(s): Nishino, H, Kakamu, K
  • Organizer: 2010年度統計関連学会連合大会
  • Place of Presentation: 早稲田大学
• [Presentation] Bayesian Whittle estimation of ARFIMA model (2010)
  • Author(s): Nishino, H, Kakamu, K
  • Organizer: 10th International Vilnius Conference on Probability Theory and Mathematical Statistics
  • Place of Presentation: Vilnius, Lithuania
• [Presentation] Bayesian Whittle estimation of ARFIMA model (2010)
  • Author(s): Nishino, H, Kakamu, K
  • Organizer: 日本経済学会2010年度春季大会
  • Place of Presentation: 千葉大学
• [Presentation] Bayesian estimation of ARFIMA model (2010)
  • Author(s): Nishino, H, Kakamu, K
  • Organizer: International Workshop on Bayesian Econometrics and Statistics
  • Place of Presentation: 東京大学山上会館
• [Presentation] Estimation of dynamics for Income inequality by stochastic volatility model (2009)
  • Author(s): Haruhisa Nishino
  • Organizer: The3rd International Conference on Computational and Financial Econometrics
  • Place of Presentation: Grand Resort Hotel, Limassol, Cyprus
  • Year and Date: 2009-10-30
• [Presentation] Estimation of dynamics for Income inequality by stochastic volatility model (2009)
  • Author(s): 西埜晴久
  • Organizer: 統計関連学会連合大会(日本統計学会)
  • Place of Presentation: 同志社大学
  • Year and Date: 2009-09-08
• [Presentation] A Simple Test for Economic Inequality Using Lognormal Distributions (2009)
  • Author(s): 西埜晴久
  • Organizer: 日本経済学会春季大会
  • Place of Presentation: 京都大学
  • Year and Date: 2009-06-07
• [Presentation] Estimation of dynamics for Income inequality by stochastic volatility model (2009)
  • Author(s): Nishino, H, Oga, T. and Kakamu, K
  • Organizer: 3rd International Conference on Computational and Financial Econometrics (CFE'09)
  • Place of Presentation: Limassol, Cyprus
• [Presentation] Estimation of dynamics for Income inequality by stochastic volatility model (2009)
  • Author(s): Nishino, H, Oga, T. and Kakamu, K
  • Organizer: 2009年度統計関連学会連合大会
  • Place of Presentation: 同志社大学
• [Presentation] Bayesian estimation of long memory parameter with Kakamu, K (2009)
  • Author(s): Nishino, H
  • Organizer: 4th Japanese- European Bayesian Econometrics and Statistics Meeting (JEuBES 2009)
  • Place of Presentation: University of Pompeu Fabre, Barcelona, Spain
• [Presentation] A Simple Test for Economic Inequality Using Lognormal Distributions (2009)
  • Author(s): Nishino, H, Kakamu, K
  • Organizer: 日本経済学会2009年度春季大会
  • Place of Presentation: 京都大学