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Panel data analysis with heterogeneous dynamics

Research Project

Project/Area Number 25780151
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Economic statistics
Research InstitutionKyoto University

Principal Investigator

Okui Ryo  京都大学, 経済研究所, 准教授 (20563480)

Project Period (FY) 2013-04-01 – 2016-03-31
Project Status Completed (Fiscal Year 2015)
Budget Amount *help
¥3,640,000 (Direct Cost: ¥2,800,000、Indirect Cost: ¥840,000)
Fiscal Year 2015: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2014: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2013: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Keywordsパネルデータ / 動学パネル / 個人の異質性 / 自己共分散 / 二重漸近理論 / 経験過程理論 / ジャックナイフ / ブートストラップ
Outline of Final Research Achievements

We developed statistical procedures for examining the distribution of dynamic structures using panel data when the dynamic structure of economic variables are heterogeneous across observation units. In particular, we developed methods to estimate the distributions of heterogeneous mean, autocovariance, and autocorrelations, and derived the asymptotic properties of the proposed estimation methods. Further, we developed a bias correction method based on jackknife and statistical inference procedures based on bootstrap. Monte Carlo simulations were conducted to examine the finite sample properties of the proposed procedures. We carried out empirical analyses on income and productivity dynamics to illustrate the use of the proposed procedures.

Report

(4 results)
  • 2015 Annual Research Report   Final Research Report ( PDF )
  • 2014 Research-status Report
  • 2013 Research-status Report
  • Research Products

    (18 results)

All 2016 2015 2014 2013 Other

All Int'l Joint Research (1 results) Journal Article (2 results) (of which Peer Reviewed: 2 results,  Acknowledgement Compliant: 2 results) Presentation (15 results) (of which Int'l Joint Research: 5 results,  Invited: 9 results)

  • [Int'l Joint Research] ソウル国立大学(韓国)

    • Related Report
      2015 Annual Research Report
  • [Journal Article] Misspecification in Dynamic Panel Data Models and Model-free Inferences2016

    • Author(s)
      Ryo Okui
    • Journal Title

      Japanese Economic Review

      Volume: 印刷中 Issue: 3 Pages: 283-304

    • DOI

      10.1111/jere.12080

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Generalized Least Squares Model Averaging2016

    • Author(s)
      Liu, Qingfeng, Ryo Okui & Arihiro Yoshimura
    • Journal Title

      Econometric Reviews

      Volume: 印刷中 Issue: 8-10 Pages: 1692-1752

    • DOI

      10.1080/07474938.2015.1092817

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Presentation] Panel Data Analysis with Heterogeneous Dynamics2016

    • Author(s)
      奥井亮
    • Organizer
      UvA- Econometrics Panel Data Workshop
    • Place of Presentation
      Amsterdam (オランダ)
    • Year and Date
      2016-03-12
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Panel Data Analysis with Heterogeneous Dynamics2015

    • Author(s)
      奥井亮
    • Organizer
      Econometric Society World Congress
    • Place of Presentation
      Montreal (カナダ)
    • Year and Date
      2015-08-22
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] DOUBLY ROBUST UNIFORM CONFIDENCE BAND FOR THE CONDITIONAL AVERAGE TREATMENT EFFECT FUNCTION2015

    • Author(s)
      奥井亮
    • Organizer
      Frontiers of Theoretical Econometrics in celebration of Don Andrews’ 60th birthday
    • Place of Presentation
      Unversity of Konstanz (ドイツ)
    • Year and Date
      2015-08-02
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Panel Data Analysis with Heterogeneous Dynamics2015

    • Author(s)
      奥井亮
    • Organizer
      Netherlands Econometric Study Group
    • Place of Presentation
      Maastricht University (オランダ)
    • Year and Date
      2015-06-13
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] MISSPECIFICATION IN DYNAMIC PANEL DATA MODELS AND MODEL-FREE INFERENCES2015

    • Author(s)
      奥井亮
    • Organizer
      日本経済学会春季大会
    • Place of Presentation
      新潟大学 (新潟県新潟市)
    • Year and Date
      2015-05-24
    • Related Report
      2015 Annual Research Report
    • Invited
  • [Presentation] Panel Data Analysis with Heterogeneous Dynamics2015

    • Author(s)
      奥井亮
    • Organizer
      Princeton-QUT-SJTU-SMU conference
    • Place of Presentation
      Singapore Management University (シンガポール
    • Year and Date
      2015-04-19
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Dynamic panel data analysis when the dynamics are heterogeneous2014

    • Author(s)
      奥井亮
    • Organizer
      Hitotsubashi-Sogang conference on Econometrics
    • Place of Presentation
      西江大学、韓国
    • Year and Date
      2014-12-13
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] Dynamic panel data analysis when the dynamics are heterogeneous2014

    • Author(s)
      奥井亮
    • Organizer
      Summer Workshop on Economic Theory (SWET2014)
    • Place of Presentation
      小樽商科大学
    • Year and Date
      2014-08-08
    • Related Report
      2014 Research-status Report
  • [Presentation] Dynamic panel data analysis when the dynamics are heterogeneous2014

    • Author(s)
      柳貴英
    • Organizer
      20th international panel data conference
    • Place of Presentation
      一橋大学
    • Year and Date
      2014-07-10
    • Related Report
      2014 Research-status Report
  • [Presentation] Asymptotic inference for dynamic panel estimators of infinite order autoregressive processeces2014

    • Author(s)
      新谷元嗣
    • Organizer
      20th international panel data conference
    • Place of Presentation
      一橋大学
    • Year and Date
      2014-07-10
    • Related Report
      2014 Research-status Report
  • [Presentation] Dynamic panel data analysis when the dynamics are heterogeneous2014

    • Author(s)
      奥井亮
    • Organizer
      Mini-conference in Microeconometrics 2014 in Hakone
    • Place of Presentation
      箱根、神奈川県
    • Year and Date
      2014-05-28
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] Dynamic panel data analysis when the dynamics are heterogeneous2014

    • Author(s)
      奥井亮
    • Organizer
      IAS Workshop on Advances in Microeconometrics
    • Place of Presentation
      香港科技大学、香港
    • Year and Date
      2014-05-24
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] Dynamic Panel Data Analysis when the Dynamics are Heterogenous2014

    • Author(s)
      柳貴英
    • Organizer
      関西計量経済学研究会
    • Place of Presentation
      京都大学
    • Related Report
      2013 Research-status Report
  • [Presentation] Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes2014

    • Author(s)
      奥井亮
    • Organizer
      SSK International Workshop in Kyoto
    • Place of Presentation
      ウェスティン都ホテル、京都
    • Related Report
      2013 Research-status Report
    • Invited
  • [Presentation] Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes2013

    • Author(s)
      奥井亮
    • Organizer
      KAKENHI symposium, Recent Advances in Statistical Theory and Applications for High Dimensional Data Analysis and Related Topics
    • Place of Presentation
      小樽商科大学
    • Related Report
      2013 Research-status Report
    • Invited

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Published: 2014-07-25   Modified: 2019-07-29  

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