2012 Fiscal Year Final Research Report
Developing statistical tools for time series analysis using panel data
| Project/Area Number |
22730176
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | Kyoto University |
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Principal Investigator |
OKUI Ryo 京都大学, 経済研究所, 准教授 (20563480)
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| Project Period (FY) |
2010 – 2012
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| Keywords | パネルデータ / 時系列解析 / 2重漸近理論 / バイアス修正法 |
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| Research Abstract |
In this project, I have developed methods to estimate autocovariances and autocorrelations using panel data. In particular, I consider the situation in which the panel exhibits factor error structure. I have evaluated the bias caused by the presence of factors and have developed bias-correction methods. I have also developed several statistical tools to investigate the dynamic nature of economic variables using panel data.
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