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 *help |
¥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.
|
Report
(4 results)
Research Products
(24 results)