| Project/Area Number |
21K20121
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Multi-year Fund |
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| Review Section |
0107:Economics, business administration, and related fields
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| Research Institution | Tokyo Metropolitan University (2022)
Hitotsubashi University (2021) |
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Principal Investigator |
Jiang Peiyun 東京都立大学, 経営学研究科, 助教 (20906929)
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| Project Period (FY) |
2021-08-30 – 2023-03-31
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| Project Status |
Completed (Fiscal Year 2022)
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| Budget Amount *help |
¥2,860,000 (Direct Cost: ¥2,200,000、Indirect Cost: ¥660,000)
Fiscal Year 2022: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2021: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
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| Keywords | structural change / panel data models / common break estimator / cross section dependence / CUSUM test / consistency / panel data / environmental analysis / structural changes / common break |
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| Outline of Research at the Start |
This research will seek to design more realistic econometric theories for detecting structural changes in panel data models. We focus on the validity of the common breaks assumption in a general model, and the identification of distinct breaks due to unobserved individual heterogeneity.
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| Outline of Final Research Achievements |
In this research project, I have developed new approaches for break points detection in panel data models. (1) I propose an approach to test whether the break in parameters in panels occurs at a common location across individuals. (2) I investigate the statistical properties of the change point estimators. (3) New tests for structural changes are introduced in a general and realistic panel data model, which allows for cross-sectional dependence in error terms. (4) The empirical analyses using financial and macroeconomic datasets strongly demonstrate the usefulness of the proposed methods.
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| Academic Significance and Societal Importance of the Research Achievements |
本研究では、パネルデータモデルにおける新たな構造変化の検定と推定手法を開発した。大規模な経済データを用いた経済政策分析に応用することで、重要な学術的意義と社会的意義を持つ。
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