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Econometric Analysis of Quantile RegressionModels andTheir Applications

Research Project

Project/Area Number 22330069
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionKobe University

Principal Investigator

KOZUMI Hideo  神戸大学, 経営学研究科, 教授 (10261273)

Co-Investigator(Kenkyū-buntansha) MORI Kunie  下関市立大学, 経済学部, 准教授 (10360893)
KAKAMU Kazuhiko  千葉大学, 法経学部, 准教授 (00456005)
MIYAWAKI Koji  関西学院大学, 経済学部, 講師 (40550249)
Project Period (FY) 2010 – 2012
Project Status Completed (Fiscal Year 2012)
Budget Amount *help
¥9,880,000 (Direct Cost: ¥7,600,000、Indirect Cost: ¥2,280,000)
Fiscal Year 2012: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2011: ¥3,770,000 (Direct Cost: ¥2,900,000、Indirect Cost: ¥870,000)
Fiscal Year 2010: ¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000)
Keywords計量経済学 / 分位点回帰モデル / ベイズ統計 / マルコフ連鎖モンテカルロ法 / スプライン / パネルデータ / EMアルゴリズム
Research Abstract

Since a set of quantiles often provides more complete description of the response distribution than the mean, this study has focused on quantile regression, which offers an important alternative to classical mean regression. We have developed new quantile regression models and efficient simulation-based methods for analyzing economic data. We have also examined the performance of the proposed methods by empirically investigating the problems such as labor supply andmedical expenditure.

Report

(4 results)
  • 2012 Annual Research Report   Final Research Report ( PDF )
  • 2011 Annual Research Report
  • 2010 Annual Research Report
  • Research Products

    (66 results)

All 2013 2012 2011 2010 Other

All Journal Article (28 results) (of which Peer Reviewed: 16 results) Presentation (37 results) Book (1 results)

  • [Journal Article] Exact estimation of demand functions under block-rate pricing2013

    • Author(s)
      Miyawaki, K., Omori, Y., and Hibiki, A.
    • Journal Title

      Econometric Reviews

      Volume: (印刷中)

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Exact estimation of demand functions under block-rate pricing2013

    • Author(s)
      Miyawaki, K., Omori, Y., and Hibiki, A.
    • Journal Title

      Econometric Review

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Space-time model versus VAR model : Forecasting electricity demand in Japan2012

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

      Journal of Forecasting

      Volume: (Forthcoming)(掲載確定) Issue: 1 Pages: 75-85

    • DOI

      10.1002/for.1255

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Bayesian analysis of quantile regression for censored dynamic panel data2012

    • Author(s)
      小林弦矢, 古澄英男
    • Journal Title

      Computational Statistics

      Volume: (掲載確定) Issue: 2 Pages: 359-380

    • DOI

      10.1007/s00180-011-0263-3

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] Production technology and agglomeration for Japanese prefectures during 1991-20002012

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

      Papers in Regional Science

      Volume: VOL.91 Issue: 1 Pages: 29-41

    • DOI

      10.1111/j.1435-5957.2011.00360.x

    • Related Report
      2012 Annual Research Report 2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] 分位点回帰モデルのセミパラメトリックベイズ分析2012

    • Author(s)
      張若茜・古澄英男
    • Journal Title

      国民経済雑誌

      Volume: 第206巻 Pages: 33-45

    • NAID

      110009444064

    • Related Report
      2012 Final Research Report
  • [Journal Article] フグ製品差別化の現状と情報品質2012

    • Author(s)
      森邦恵
    • Journal Title

      下関フグのブランド経済学(II)

      Volume: 第2章 Pages: 26-42

    • Related Report
      2012 Final Research Report
  • [Journal Article] 唐戸商店街地区の利用実態に関する調査~下関市役所職員を対象としたアンケート調査結果から~2012

    • Author(s)
      杉浦勝章・森邦恵・横山博司
    • Journal Title

      関門地域研究

      Volume: 第21巻 Pages: 113-128

    • Related Report
      2012 Final Research Report
  • [Journal Article] 階層ベイズ・モデルによるクレジット・スコアリング・モデル: 住宅ローンコンソーシアム・データへの応用2012

    • Author(s)
      奥村拓史・各務和彦
    • Journal Title

      日本統計学会誌

      Volume: 第42巻 Pages: 25-53

    • NAID

      110009543878

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] 分位点回帰モデルのセミパラメトリックベイズ分析2012

    • Author(s)
      張若茜、古澄英男
    • Journal Title

      国民経済雑誌

      Volume: 206 Pages: 33-45

    • NAID

      110009444064

    • Related Report
      2012 Annual Research Report
  • [Journal Article] 唐戸商店街地区の利用実態に関する調査 ~下関市役所職員を対象としたアンケート調査結果から~2012

    • Author(s)
      杉浦勝章、森邦恵、横山博司
    • Journal Title

      関門地域研究

      Volume: 21 Pages: 113-128

    • Related Report
      2012 Annual Research Report
  • [Journal Article] 階層ベイズ・モデルによるクレジット・スコアリング・モデル: 住宅ローンコンソーシアム・データへの応用2012

    • Author(s)
      奥村拓史、各務和彦
    • Journal Title

      日本統計学会

      Volume: 42 Pages: 25-53

    • NAID

      110009543878

    • Related Report
      2012 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Gibbs sampling methods for Bayesian quantile regressio2011

    • Author(s)
      Kozumi, H.and Kobayashi, G.
    • Journal Title

      Journal of Statistical Computation and Simulation

      Volume: 81 Issue: 11 Pages: 1565-1578

    • DOI

      10.1080/00949655.2010.496117

    • Related Report
      2012 Annual Research Report 2012 Final Research Report 2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Grouped data estimation and testing of Gini coefficient using lognormal distributions2011

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

      Sankhya Series

      Volume: B73 Issue: 2 Pages: 193-210

    • DOI

      10.1007/s13571-011-0031-y

    • Related Report
      2012 Final Research Report 2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On the roles of spatial interaction and heteroscedasticity in crime modeling,(A.E. Hasselm ed)2011

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

      Crime: Causes, Types and Victims, Nova Publisher

      Pages: 211-220

    • Related Report
      2012 Final Research Report
  • [Journal Article] Panel data analysis of Japanese residential water demand using a discrete/continuous choice approach2011

    • Author(s)
      Koji Miyawaki, Yasuhiro Omori, Akira Hibiki
    • Journal Title

      Japanese Economic Review

      Volume: 62 Pages: 365-386

    • DOI

      10.1111/j.1468-5876.2010.00532.x

    • Related Report
      2012 Final Research Report 2011 Annual Research Report
    • Peer Reviewed
  • [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 Pages: 181-200

    • NAID

      110008790501

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] ベイズ型パネル空間プロビット・モデルを用いた地域景気循環モデル2011

    • Author(s)
      和合肇・各務和彦
    • Journal Title

      ファイナンス・景気循環の計量分析

      Volume: 第6 章 Pages: 135-168

    • Related Report
      2012 Final Research Report
  • [Journal Article] On the roles of spatial interaction and heteroscedasticity in crime modeling2011

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

      Crime: Causes, Types and Victims (A.E. Hasselm ed.)

      Volume: 13 Pages: 211-220

    • Related Report
      2011 Annual Research Report
  • [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: 41 Pages: 181-200

    • NAID

      110008790501

    • Related Report
      2011 Annual Research Report
    • Peer Reviewed
  • [Journal Article] ベイズ型パネル空間プロビット・モデルを用いた地域景気循環モデル2011

    • Author(s)
      和合肇、各務和彦
    • Journal Title

      ファイナンス・景気循環の計量分析 (浅子和美・渡部敏明編著)

      Volume: 6 Pages: 135-168

    • Related Report
      2011 Annual Research Report
  • [Journal Article] Gibbs Sampling Methods for Bayesian Quantile Regression2011

    • Author(s)
      Kozumi, H., Kobayashi, G.
    • Journal Title

      Journal of Statistical Computation and Simulation

      Volume: (印刷中 掲載確定)

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] On the Roles of Spatial Interaction and Heteroscedasticity in Crime Modeling2011

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

      Crime : Causes, Types and Victims

      Volume: (印刷中 掲載確定)

    • Related Report
      2010 Annual Research Report
  • [Journal Article] Panel Data Analysis of Japanese Residential Water Demand Using a Discrete/Continuous Choice Approach2011

    • Author(s)
      Miyawaki, K., Omori, Y., Hibiki, A.
    • Journal Title

      Japanese Economic Review

      Volume: (印刷中 掲載確定)

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] EM アルゴリズムによる分位点回帰モデルの推定2010

    • Author(s)
      小林弦矢・古澄英男
    • Journal Title

      国民経済雑誌

      Volume: 第202巻 Pages: 21-30

    • NAID

      110007645438

    • Related Report
      2012 Final Research Report
  • [Journal Article] Forecasting electricity demand in Japan: A Bayesian spatial autoregressive ARMA approach2010

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

      Computational Statistics & Data Analysis

      Volume: 54 Issue: 11 Pages: 2721-2735

    • DOI

      10.1016/j.csda.2009.06.002

    • Related Report
      2012 Final Research Report
    • Peer Reviewed
  • [Journal Article] EMアルゴリズムによる分位点回帰モデルの推定2010

    • Author(s)
      小林弦矢、古澄英男
    • Journal Title

      国民経済雑誌

      Volume: 202 Pages: 21-30

    • NAID

      110007645438

    • Related Report
      2010 Annual Research Report
  • [Journal Article] Forecasting Electricity Demand in Japan : A Bayesian Spatial Autoregressive ARMA Approach2010

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

      Computational Statistics & Data Analysis

      Volume: 54 Pages: 2721-2735

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Presentation] egional growth and business cycle in Japan2013

    • Author(s)
      Kakamu, K.
    • Organizer
      International Conference "Frontiers in Macroeconometrics"
    • Place of Presentation
      一橋大学
    • Year and Date
      2013-03-01
    • Related Report
      2012 Final Research Report
  • [Presentation] Bayesian estimation of the beta-type distribution parameters based upon grouped data2013

    • Author(s)
      Kakamu, K.
    • Organizer
      International Workshop on Bayesian Econometrics and Computation
    • Place of Presentation
      神戸大学
    • Year and Date
      2013-02-01
    • Related Report
      2012 Final Research Report
  • [Presentation] New treatment effect models: the analysis of the rapid railroad network2013

    • Author(s)
      Kakamu, K.
    • Organizer
      International Workshop on Bayesian Econometrics and Statistics
    • Place of Presentation
      神戸大学
    • Year and Date
      2013-02-01
    • Related Report
      2012 Final Research Report
  • [Presentation] Bayesian estimation of the beta-type distribution parameters based upon grouped data2012

    • Author(s)
      Kakamu, K.
    • Organizer
      European Seminar on Bayesian Econometrics
    • Place of Presentation
      Vienna University of Economics and Business (オーストリア)
    • Year and Date
      2012-11-01
    • Related Report
      2012 Final Research Report
  • [Presentation] New treatment effect models: the analysis of the rapid railroad network2012

    • Author(s)
      Kakamu, K.
    • Organizer
      European Seminar on Bayesian Econometrics
    • Place of Presentation
      Vienna University of Economics and Business (オーストリア)
    • Year and Date
      2012-11-01
    • Related Report
      2012 Final Research Report
  • [Presentation] 階層的トリートメント効果モデル2012

    • Author(s)
      宮脇幸治
    • Organizer
      2012 年度統計関連学会連合大会
    • Place of Presentation
      北海道大学
    • Year and Date
      2012-09-12
    • Related Report
      2012 Final Research Report
  • [Presentation] Spatial patterns of flypaper effects for local expenditures by policy objective in Japan: A Bayesian approach2012

    • Author(s)
      各務和彦
    • Organizer
      日本応用経済学会
    • Place of Presentation
      福岡大学
    • Year and Date
      2012-06-10
    • Related Report
      2012 Final Research Report
  • [Presentation] Why do municipalities recycle: Using Bayesian panel spatial autoregressive probit model2012

    • Author(s)
      各務和彦
    • Organizer
      国際地域開発経済学セミナー
    • Place of Presentation
      筑波大学
    • Year and Date
      2012-02-21
    • Related Report
      2012 Final Research Report
  • [Presentation] Spatial patterns of flypaper effects for local expenditures by policy objective in Japan: A Bayesian approach2011

    • Author(s)
      各務和彦
    • Organizer
      ベイズ分析のための数値計算技法とその経済・ファイナンス分析への応用
    • Place of Presentation
      下関市立大学唐戸サテライトキャンパス
    • Year and Date
      2011-11-20
    • Related Report
      2012 Final Research Report
  • [Presentation] Space-varying coefficient simultaneous autoregressive models2011

    • Author(s)
      宮脇幸治
    • Organizer
      2011 年度統計関連学会連合大会
    • Place of Presentation
      九州大学
    • Year and Date
      2011-09-05
    • Related Report
      2012 Final Research Report
  • [Presentation] Why do municipalities recycle: Using Bayesian panel spatial autoregressive probit model2011

    • Author(s)
      Kakamu, K
    • Organizer
      5th Japanese-European Bayesian Econometrics and Statistics
    • Place of Presentation
      Norges Bank(ノルウェー)
    • Year and Date
      2011-08-23
    • Related Report
      2012 Final Research Report
  • [Presentation] Space-varying coefficient simultaneous autoregressive models2011

    • Author(s)
      Kakamu, K
    • Organizer
      Japanese-European Bayesian Econometrics and Statistics
    • Place of Presentation
      Norges Bank(ノルウェー)
    • Year and Date
      2011-08-23
    • Related Report
      2012 Final Research Report
  • [Presentation] Exact estimation of demand functions under block-rate pricing2011

    • Author(s)
      Kakamu, K
    • Organizer
      9th IWREC Conference in Water Economics
    • Place of Presentation
      Banff Centre (カナダ)
    • Year and Date
      2011-06-27
    • Related Report
      2012 Final Research Report
  • [Presentation] Exact estimation of demand functions under block-rate pricing2011

    • Author(s)
      Kakamu, K
    • Organizer
      Environmental Economics Seminar
    • Place of Presentation
      京都大学
    • Year and Date
      2011-04-08
    • Related Report
      2012 Final Research Report
  • [Presentation] School choice effects in Tokyo 23-special wards in Japan: a Bayesian spatial quantile regression approach2011

    • Author(s)
      Kakamu, K
    • Organizer
      International Workshop on Applied Bayesian Statistics and Econometrics
    • Place of Presentation
      京都私学会館
    • Year and Date
      2011-02-02
    • Related Report
      2012 Final Research Report
  • [Presentation] Modeling Heterogeneity with spatial correlations applied to the residential water demand2011

    • Author(s)
      Kakamu, K
    • Organizer
      International Workshop on Applied Bayesian Statistics and Econometrics
    • Place of Presentation
      京都私学会館
    • Year and Date
      2011-02-02
    • Related Report
      2012 Final Research Report
  • [Presentation] School Choice Effects in Tokyo 23-Special Wards in Japan : a Bayesian Spatial Quantile Regression Approach2011

    • Author(s)
      Kakamu, K.
    • Organizer
      International Workshop on Applied Bayesian Statistics and Econometrics
    • Place of Presentation
      京都私学会館(京都府)
    • Year and Date
      2011-02-02
    • Related Report
      2010 Annual Research Report
  • [Presentation] Modeling Heterogeneity with Spatial Correlations Applied to the Residential Water Demand2011

    • Author(s)
      Miyawaki, K.
    • Organizer
      International Workshop on Applied Bayesian Statistics and Econometrics
    • Place of Presentation
      京都私学会館(京都府)
    • Year and Date
      2011-02-02
    • Related Report
      2010 Annual Research Report
  • [Presentation] 空間計量経済学における分析手法と応用例について2010

    • Author(s)
      各務和彦
    • Organizer
      計量経済学研究会
    • Place of Presentation
      神戸大学
    • Year and Date
      2010-06-22
    • Related Report
      2012 Final Research Report
  • [Presentation] 空間計量経済学における分析手法と応用例について2010

    • Author(s)
      各務和彦
    • Organizer
      計量経済学研究会
    • Place of Presentation
      神戸大学(兵庫県)
    • Year and Date
      2010-06-22
    • Related Report
      2010 Annual 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(春季大会)
    • Place of Presentation
      千葉大学
    • Year and Date
      2010-06-06
    • Related Report
      2012 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(春季大会)
    • Place of Presentation
      千葉大学(千葉県)
    • Year and Date
      2010-06-06
    • Related Report
      2010 Annual Research Report
  • [Presentation] Bayesian estimation of the generalized Lambda distribution using approximate Bayesian computation.2010

    • Author(s)
      古澄英男
    • Organizer
      応用統計ワークショップ
    • Place of Presentation
      東京大学
    • Year and Date
      2010-05-28
    • Related Report
      2012 Final Research Report
  • [Presentation] Bayesian Estimation of the Generalized Lambda Distribution Using Approximate Bayesian Computation2010

    • Author(s)
      古澄英男
    • Organizer
      応用統計ワークショップ
    • Place of Presentation
      東京大学(東京都)
    • Year and Date
      2010-05-28
    • Related Report
      2010 Annual Research Report
  • [Presentation] Spatial patterns of flypaper effects for local expenditures by policy objective in Japan: A Bayesian approach

    • Author(s)
      各務和彦
    • Organizer
      日本応用経済学会
    • Place of Presentation
      福岡大学(福岡)
    • Related Report
      2012 Annual Research Report
  • [Presentation] Bayesian estimation of the beta-type distribution parameters based upon grouped data

    • Author(s)
      各務和彦
    • Organizer
      European Seminar on Bayesian Econometrics
    • Place of Presentation
      Vienna University of Economics and Business(オーストリア)
    • Related Report
      2012 Annual Research Report
  • [Presentation] Bayesian estimation of the beta-type distribution parameters based upon grouped data

    • Author(s)
      各務和彦
    • Organizer
      International Workshop on Bayesian Econometrics and Statistics
    • Place of Presentation
      神戸大学(神戸)
    • Related Report
      2012 Annual Research Report
  • [Presentation] Regional growth and business cycle in Japan

    • Author(s)
      各務和彦
    • Organizer
      International Conference "Frontiers in Macroeconometrics”
    • Place of Presentation
      一橋大学(東京)
    • Related Report
      2012 Annual Research Report
  • [Presentation] 階層的トリートメント効果モデル

    • Author(s)
      宮脇幸治
    • Organizer
      2012年度統計関連学会連合大会
    • Place of Presentation
      北海道大学(北海道)
    • Related Report
      2012 Annual Research Report
  • [Presentation] New treatment effect models: the analysis of the rapid railroad network

    • Author(s)
      宮脇幸治
    • Organizer
      European Seminar on Bayesian Econometrics
    • Place of Presentation
      Vienna University of Economics and Business(オーストリア)
    • Related Report
      2012 Annual Research Report
  • [Presentation] New treatment effect models: the analysis of the rapid railroad network

    • Author(s)
      宮脇幸治
    • Organizer
      International Workshop on Bayesian Econometrics and Statistics
    • Place of Presentation
      神戸大学(神戸)
    • Related Report
      2012 Annual Research Report
  • [Presentation] Why do municipalities recycle: Using Bayesian panel spatial autoregressive probit model

    • Author(s)
      各務和彦
    • Organizer
      5th Japanese-European Bayesian Econometrics and Statistics
    • Place of Presentation
      Norges Bank(ノルウェー)
    • Related Report
      2011 Annual Research Report
  • [Presentation] Spatial patterns of flypaper effects for local expenditures by policy objective in Japan: A Bayesian approach

    • Author(s)
      各務和彦
    • Organizer
      ベイズ分析のための数値計算技法とその経済・ファイナンス分析への応用
    • Place of Presentation
      下関市立大学(山口)
    • Related Report
      2011 Annual Research Report
  • [Presentation] Exact estimation of demand functions under block-rate pricing

    • Author(s)
      宮脇幸治
    • Organizer
      Environmental Economics Seminar
    • Place of Presentation
      京都大学(京都)
    • Related Report
      2011 Annual Research Report
  • [Presentation] Exact estimation of demand functions under block-rate pricing

    • Author(s)
      宮脇幸治
    • Organizer
      9th IWREC Conference in Water Economics
    • Place of Presentation
      京都大学(京都)
    • Related Report
      2011 Annual Research Report
  • [Presentation] Space-varying coefficient simultaneous autoregressive models

    • Author(s)
      宮脇幸治
    • Organizer
      5th Japanese-European Bayesian Econometrics and Statistics
    • Place of Presentation
      Norges Bank(ノルウェー)
    • Related Report
      2011 Annual Research Report
  • [Presentation] Space-varying coefficient simultaneous autoregressive models

    • Author(s)
      宮脇幸治
    • Organizer
      2011年度統計関連学会連合大会
    • Place of Presentation
      九州大学(福岡)
    • Related Report
      2011 Annual Research Report
  • [Book] 下関フグのブランド経済学(II)(濱田英嗣 編著)2012

    • Author(s)
      森邦恵
    • Total Pages
      167
    • Publisher
      筑波書房
    • Related Report
      2012 Annual Research Report

URL: 

Published: 2010-08-23   Modified: 2019-07-29  

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