2012 Fiscal Year Final Research Report
Econometric analysis of nonstationary panel times series
| Project/Area Number |
20530180
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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 | Kobe University |
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Principal Investigator |
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| Project Period (FY) |
2008 – 2012
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| Keywords | 計量経済学 |
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| Research Abstract |
This research topic is one of the most advancing research areasin recent econometric analysis and is useful when the sample size obtained from time series data is small. This project focuses on the following two points.
(1) We apply various types of nonstationary panel time series techniques to actual data, and examine the economic implications of empirical results.
(2) We analyze the small sample properties of CIPS test developed by Pesaran (2007).
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