2006 Fiscal Year Final Research Report Summary
Econometric Model Analysis with Panel Count Data
| Project/Area Number |
16530140
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Osaka University |
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Principal Investigator |
OYA Kosuke Osaka University, Graduate School of Economics, Professor, 大学院経済学研究科, 教授 (20233281)
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| Project Period (FY) |
2004 – 2006
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| Keywords | Count Data / Panel Data / Dynamic Model |
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| Research Abstract |
The purpose of this research is to investigate the statistical properties of the estimators of the panel data model. The count data is not continuous but discrete. Its likelihood function is complicated to use for the estimation of unknown parameters included in the model. Although the likelihood of the count data model which is static can be evaluated numerically, the estimation of the dynamic model with panel count data is hard because of the incidental parameter problem. In this research, the derivatives of the log-likelihood function of the dynamic model with panel count data have been given. This research shows that the conditional maximum likelihood approach which is used for the static model can not be applied since the likelihood function consisted of convolutions of two non-negative integer-valued random variables.
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