Development of Statistical Methods for Large Panel Data Models and Their Applications

2015 Fiscal Year Final Research Report

• Project/Area Number: 25285067
• Research Category: Grant-in-Aid for Scientific Research (B)
• Allocation Type: Partial Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Hitotsubashi University
• Principal Investigator: KUROZUMI Eiji 一橋大学, 大学院経済学研究科, 教授 (00332643)
• Co-Investigator(Kenkyū-buntansha): HAYAKAWA Kazuhiko 広島大学, 大学院社会科学研究科, 准教授 (00508161) ; OKUI Ryo 京都大学, 経済研究所, 准教授 (20563480) ; YAMAMOTO Yohei 一橋大学, 大学院経済学研究科, 准教授 (80633916)
• Research Collaborator: HADRI Kaddor Queen's University Belfast, Queen's Management School, Emeritus Professor ; YAMAGATA Takashi University of York, Department of Economics and Related Studies, Professor
• Project Period (FY): 2013-04-01 – 2016-03-31
• Keywords: 経済統計学 / パネルデータ / 共和分 / 構造変化 / ジャンプ / 動学パネル / GMM

Outline of Final Research Achievements

The purpose of this project is to develop statistical methods for investigating large panel data models with both the cross-sectional dimension N and the time-series dimension T being large and to apply those developed methods to empirical analyses. We developed new methods for panel data analysis using the joint asymptotics where both N and T go to infinity or the T asymptotics with N fixed. We also conducted empirical analyses using the developed methods. The methods developed in this project are expected to be used in the future empirical analyses and, in general, the econometric analyses with large panel data would become more popular in the near future.

Free Research Field

計量経済学