2012 Fiscal Year Final Research Report
Extension and lag order selection of autoregressive panel data models
| Project/Area Number |
22730178
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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 | Hiroshima University |
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Principal Investigator |
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| Project Period (FY) |
2010 – 2012
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| Keywords | パネルデータモデル / 一般化モーメント法 / 最尤法 |
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| Research Abstract |
In this project, I conducted research associated with the statistical analysis of dynamic panel data models. Specifically, (1) an analysis of the impact of initial conditions on the behavior of GMM estimator, (2) an analysis of the maximum likelihood estimator in the presence of cross-sectional heteroskedasticity, (3) an analysis of panel vector autoregressive models and dynamic panel data models with interactive fixed effects as an extension of conventional models.
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