2010 Fiscal Year Final Research Report
Econometric Analysis of the Panel Unit Root : Case Where Cross Section Dimension is Finite
| Project/Area Number |
20530177
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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 | Nihon University |
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Principal Investigator |
YAMAMOTO Taku Nihon University, 経済学部, 教授 (50104716)
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| Co-Investigator(Kenkyū-buntansha) |
CHIIRA Hiroaki 東北大学, 大学院・経済学研究科, 准教授 (30447122)
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| Project Period (FY) |
2008 – 2010
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| Keywords | 経済統計学 / 統計数学 / 計量経済学 / パネル分析 / 単位根検定 |
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| Research Abstract |
In this project we propose a new approach for testing a unit root in dynamic panel data models. Its special features are twofold : Firstly, we intentionally ignore the constant term of the model, when estimating the model. Secondly, we approximate the distribution of the test statistic as normal even in finite samples. Our finite sample experiments show that the normal approximation works nicely and the suppressed constant term method appears quite effective in improving the power of the test.
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