Developing statistical tools for time series analysis using panel data

• Project/Area Number: 22730176
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Economic statistics
• Research Institution: Kyoto University
• Principal Investigator: OKUI Ryo 京都大学, 経済研究所, 准教授 (20563480)
• Project Period (FY): 2010 – 2012
• Project Status: Completed (Fiscal Year 2012)
• Budget Amount: ¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000); Fiscal Year 2012: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000); Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000); Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
• Keywords: パネルデータ / 時系列解析 / 2重漸近理論 / バイアス修正法 / 動学パネルデータ分析 / 計量経済学 / 自己共分散 / 自己相関 / 推定

Research Abstract

In this project, I have developed methods to estimate autocovariances and autocorrelations using panel data. In particular, I consider the situation in which the panel exhibits factor error structure. I have evaluated the bias caused by the presence of factors and have developed bias-correction methods. I have also developed several statistical tools to investigate the dynamic nature of economic variables using panel data.

Research Products

• [Journal Article] Hahn-Hausman test as a specification test (2012)
  • Author(s): Yoonseok Lee and Ryo Okui
  • Journal Title: Journal of Econometrics Volume: 167 Pages: 133-139
  • Peer Reviewed
• [Journal Article] Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends (2011)
  • Author(s): Ryo Okui
  • Journal Title: Economics Lettters Volume: 112 Issue: 1 Pages: 49-52
  • DOI: 10.1016/j.econlet.2011.03.013
  • Peer Reviewed
• [Presentation] ファクターモデルの近年の研究展望 (2013)
  • Author(s): 奥井亮
  • Organizer: 日本統計学会春季集会
  • Place of Presentation: 学習院大学, 東京
  • Year and Date: 2013-03-03
• [Presentation] ファクターモデルの近年の研究展望 (2013)
  • Author(s): 奥井亮
  • Organizer: 第7回日本統計学会春季集会
  • Place of Presentation: 東京、学習院大学
  • Invited
• [Presentation] Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes (2012)
  • Author(s): Ryo Okui
  • Organizer: Asian meeting of the Econometric Society
  • Place of Presentation: University of Delhi, Delhi, India
  • Year and Date: 2012-12-21
• [Presentation] Asymptotic efficiency in dynamic panel data models with factor structure (2012)
  • Author(s): Ryo Okui
  • Organizer: Hitotsubashi-Sogang Conference on Econometrics
  • Place of Presentation: Sogang University, Seoul, Korea
  • Year and Date: 2012-11-17
• [Presentation] Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes (2012)
  • Author(s): Ryo Okui
  • Place of Presentation: 上海交通大学, 上海, 中国
  • Year and Date: 2012-05-19
• [Presentation] Asymptotic efficiency in dynamic panel data models with factor structure (2012)
  • Author(s): Ryo Okui
  • Organizer: Tsinghua International Conference in Econometrics
  • Place of Presentation: 清華大学, 北京, 中国
  • Year and Date: 2012-05-15
• [Presentation] Tsinghua International Conference in Econometrics (2012)
  • Author(s): 奥井亮
  • Organizer: Asymptotic efficiency in dynamic panal data models with factor structure
  • Place of Presentation: 中国北京、清華大学
  • Invited
• [Presentation] Symposium on Econometric Theory and Applications (SETA2012) (2012)
  • Author(s): 奥井亮
  • Organizer: Asymptotic inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes
  • Place of Presentation: 中国上海、上海交通大学
• [Presentation] Hitotsubashi-Sogang Conference on Econometrics (2012)
  • Author(s): 奥井亮
  • Organizer: Asymptotic efficiency in dynamic panal data models with factor structure
  • Place of Presentation: 韓国ソウル、西江大学校
  • Invited
• [Presentation] Asian Meeting of the Econometric Society (2012)
  • Author(s): 奥井亮
  • Organizer: Asymptotic inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes
  • Place of Presentation: インドデリー、デリー大学
• [Presentation] Asymptotic Efficiency in Dynamic Panel Data Models WhenBoth N and T are Large (2011)
  • Author(s): Ryo Okui
  • Organizer: 国際研究集会「数理統計学と金融・計量経済学の理論と応用」
  • Place of Presentation: 京都大学、楽友会館
  • Year and Date: 2011-11-30
• [Presentation] Asymptotic Efficiency in Dynamic Panel Data Models When Both N and T are Large (2011)
  • Author(s): Ryo Okui
  • Organizer: 国際研究集会「数理統計学と金融・計量経済学の理論と応用」
  • Place of Presentation: 京都大学、楽友会館
  • Year and Date: 2011-11-30
• [Presentation] Efficienct estimation of autocovariances for panel data with individual effects under cross section and time series asymptotics (2011)
  • Author(s): Ryo Okui
  • Organizer: Asian meeting of the econometric society
  • Place of Presentation: Korea University, Seoul,Korea
  • Year and Date: 2011-08-11
• [Presentation] Efficienct estimation of autocovariances for panel data with individual effects under cross section and time series asymptotics (2011)
  • Author(s): Ryo Okui
  • Organizer: Asian meeting of the econometric society
  • Place of Presentation: Korea University, Seoul, Korea
  • Year and Date: 2011-08-11
• [Presentation] Efficient Estimation of Autocovariances for Panel Data with Individual Effects under Cross Section and Time Series Asymptotics (2011)
  • Author(s): Haruo Iwakura
  • Organizer: 日本統計学会春季集会
  • Place of Presentation: 立教大学、東京
  • Year and Date: 2011-03-06
• [Presentation] Asymptotic Inferences for Panel AR(∞) processes (2011)
  • Author(s): 奥井亮
  • Organizer: 関西計量経済学研究会
  • Place of Presentation: 大阪大学、大阪
  • Year and Date: 2011-01-08
• [Presentation] Asymptotic Inferences for Panel AR(∞)processes (2011)
  • Author(s): Ryo Okui
  • Organizer: 関西計量経済学研究会
  • Place of Presentation: 大阪大学、大阪(招待講演)
  • Year and Date: 2011-01-08
• [Presentation] Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in The Presence of Individual and Time Effects (2010)
  • Author(s): Ryo Okui
  • Organizer: Hitotsubashi Conference on Econometrics
  • Place of Presentation: 一橋大学、東京
  • Year and Date: 2010-11-21
• [Presentation] Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in The Presence of Individual and Time Effects (2010)
  • Author(s): Ryo Okui
  • Organizer: International Symposium on Econometric Theory in Honor of Takeshi Amemiya's Contribution
  • Place of Presentation: Shanghai University of Finance and Economics, 上海、中国
  • Year and Date: 2010-08-15
• [Presentation] Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in The Presence of Individual and Time Effects (2010)
  • Author(s): Ryo Okui
  • Organizer: International Symposium on Econometric Theory in Honor of Takeshi Amemiya's Contribution to Econometrics
  • Place of Presentation: Shanghai University of Finance and Economics,上海、中国
  • Year and Date: 2010-08-15
• [Presentation] Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data inThe Presence of Individual and Time Effects (2010)
  • Author(s): Ryo Okui
  • Organizer: International Symposium on Econometric Theory and Applications (SETA2010)
  • Place of Presentation: Singapore Management University, Singapore
  • Year and Date: 2010-04-30
• [Presentation] Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in The Presence of Individual and Time Effects (2010)
  • Author(s): Ryo Okui
  • Organizer: International Symposium on Econometric Theory and Applications (SETA2010)
  • Place of Presentation: Singapore Management University Singapore
  • Year and Date: 2010-04-30