2010 Fiscal Year Final Research Report
The GM estimator of multiple equations panel data model with spatial auto-regressive disturbances
| Project/Area Number |
20530176
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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 | Tokyo Institute of Technology |
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Principal Investigator |
SHIMANE Tetsuya Tokyo Institute of Technology, 大学院・情報理工学研究科, 助教 (90286154)
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| Project Period (FY) |
2008 – 2010
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| Keywords | 経済統計学 / 空間計量経済学 / 環境分析 |
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| Research Abstract |
Panel data is a data form that gained by repeated observation of same individuals, firms or regions. When we use panel data for regression analysis, we have to care about spatial correlation among the disturbances. We proposed the GM estimator for the panel data SUR model with spatial auto-regressive disturbances, and the GM estimator for the panel data model with serial and spatial autoregressive disturbances. These GM estimators need less computational load and require fewer assumptions on distribution of errors than the conventional ML estimators do. Then we examined their performances by numerical experiments.
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Research Products
(10 results)
