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2007 Fiscal Year Final Research Report Summary

An estimation of the dynamic factor demand model with a stochastic differential equation

Research Project

Project/Area Number 16530167
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Applied economics
Research InstitutionOtemon Gakuin University

Principal Investigator

KINUGASA Tatsuo  Otemon Gakuin University, Economics, Professor (30186283)

Project Period (FY) 2004 – 2007
Keywordsfactor demand / dynamic analysis / Euler equation / stochastic differential equation / GMM estimation
Research Abstract

This paper has examined and estimated a dynamic factor demand model with a stochastic differential equation on Japanese gas industry. A dynamic factor demand model is usually used to estimate productivity and efficiency on industries such that airlines, automobile, electricity and so on. All most of all researches in this field are built by a translog type cost functions, with Euler equation as a representation of dynamic investment behavior of firms. This research tried to change usual differential equation type's Euler equation to a stochastic differential equation type. This change has made us to find a detail fluctuation on the investment behavior of firms. Each firm in Japanese gas industry makes sometimes not only big-sized lumpy investment but also small-sized investment every year. This research lighted up the easy method of the difference between these two investments on the dynamic optimization root.
This paper was paid attention to from the researchers of system science, stochastic analysis and real option's fields.

  • Research Products

    (10 results)

All 2007 2006 2005

All Journal Article (6 results) (of which Peer Reviewed: 2 results) Presentation (4 results)

  • [Journal Article] A Dynamic Factor Demand Model under Uncertainty on Japanese Gas Firms2007

    • Author(s)
      衣笠 達夫
    • Journal Title

      International Journal of Innovative Computing, Information and Control Vol.12,No.3

      Pages: 943-957

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
  • [Journal Article] A Dynamic Factor Demand Model under Uncertainty on Japanese Gas Firms2007

    • Author(s)
      Tatsuo Kinugasa
    • Journal Title

      International Journal of Innovative Computing, Information and control Vol.12, No.3

      Pages: 943-957

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] 生産性分析研究の新たな方向2006

    • Author(s)
      衣笠 達夫
    • Journal Title

      追手門経済論集 31

      Pages: 358-369

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Dynamic Factor Demand Model:A Real Option Approach2006

    • Author(s)
      衣笠 達夫
    • Journal Title

      Proceedings of the 37th ISCIE International Symposium on Stochastic Systems Theory and Its Applications

      Pages: 208-213

    • Description
      「研究成果報告書概要(和文)」より
    • Peer Reviewed
  • [Journal Article] New Directions of the Productivity Analysis (in Japanese)2006

    • Author(s)
      Tatsuo Kinugasa
    • Journal Title

      Otemon Economic Papers 31

      Pages: 358-369

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Dynamic Factor Demand Model : A Real Option Approach2006

    • Author(s)
      Tatsuo Kinugasa
    • Journal Title

      Proceedings of the 37th ISCIE International Symposium on Stochastic Systems Theory and Its Applications

      Pages: 208-213

    • Description
      「研究成果報告書概要(欧文)」より
  • [Presentation] 地方公営企業の生産関数の推定2007

    • Author(s)
      衣笠 達夫
    • Organizer
      日本地域学会
    • Place of Presentation
      鳥取大学
    • Year and Date
      2007-10-08
    • Description
      「研究成果報告書概要(和文)」より
  • [Presentation] Production function of the local government enterprises(in Japanese)2007

    • Author(s)
      Tatsuo Kinugasa
    • Organizer
      Regional Science Association,Japanese Branch
    • Place of Presentation
      Tottori, Japan
    • Year and Date
      2007-10-08
    • Description
      「研究成果報告書概要(欧文)」より
  • [Presentation] Dynamic Factor Demand Model under Uncertainty on Japanese Gas Firms2005

    • Author(s)
      衣笠 達夫
    • Organizer
      The 37th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
    • Place of Presentation
      Osaka,JAPAN
    • Year and Date
      2005-10-21
    • Description
      「研究成果報告書概要(和文)」より
  • [Presentation] Dynamic Factor Demand Model under Uncertainty on Japanese Gas Firms2005

    • Author(s)
      Tatsuo Kinugasa
    • Organizer
      The 37th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
    • Place of Presentation
      Ibaragi, Japan
    • Year and Date
      2005-10-21
    • Description
      「研究成果報告書概要(欧文)」より

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Published: 2010-02-04  

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