2021 Fiscal Year Final Research Report
Building new models for spatio-temporal econometrics and thier statistical inference
| Project/Area Number |
17H02508
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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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 | Tohoku University |
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Principal Investigator |
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| Co-Investigator(Kenkyū-buntansha) |
松田 安昌 東北大学, 経済学研究科, 教授 (10301590)
三浦 良造 一橋大学, その他部局等, 名誉教授 (30107081)
中島 賢太郎 一橋大学, 大学院経営管理研究科, 准教授 (60507698)
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| Project Period (FY) |
2017-04-01 – 2022-03-31
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| Keywords | 時空間計量経済学 / 時空間統計科学 / 時空間計量ファイナンス / 時空間都市地域経済分析 / 時空間確率場 |
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| Outline of Final Research Achievements |
In this research, in order to contribute the development of spatio-temporal econometirics, we have constructed new spatio-temporal econometric models, clarified their statistical properties and considered their applicability to analyze empirical spatio-temporal data. First for nonstationary spatio-temporal random fields, we constructed new models and derived their statistical properties. Furthemore we showed their usefulness for analyzing empirical data. Secondly we constructed new models for large spatio-temporal data sets and efficient procedures to analyze them. Thirdly for financial data analysis, we proposed new models that take their spatio-temporal dependency into account of and more robust estimators based on rank statistics than the least squares estimator. Finally for uraban and regional economic analysis, especially network society anlysis, we constructed effective models and applied them to analyze an effect of a regulation for land use on land prices.
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| Free Research Field |
計量経済学
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| Academic Significance and Societal Importance of the Research Achievements |
時間的・空間的因果関係あるいは相関関係を同時に考慮した計量経済学モデルの構築、その統計的推測理論さらに実データ解析への有用性に関する研究は洋の東西を問わず数多くないと思われる。このような現状のもとで得られた本研究の成果は、時空間計量経済学の理論的発展に貢献すると考えられる。また実データの解析に関しても、地球温暖化などの環境問題・地震や津波の発生・集中豪雨がもたらす自然災害・COVID-19など感染性疾病の伝播メカニズム・欧州統合や環太平洋経済連携などに象徴される経済のグローバル化・都市の集積メカニズムなど広範な分野への応用が期待できる。
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