Panel data analysis with heterogeneous dynamics

2015 Fiscal Year Final Research Report

• Project/Area Number: 25780151
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Economic statistics
• Research Institution: Kyoto University
• Principal Investigator: Okui Ryo 京都大学, 経済研究所, 准教授 (20563480)
• Project Period (FY): 2013-04-01 – 2016-03-31
• Keywords: パネルデータ / 動学パネル / 個人の異質性 / 自己共分散 / 二重漸近理論 / 経験過程理論 / ジャックナイフ / ブートストラップ

Outline of Final Research Achievements

We developed statistical procedures for examining the distribution of dynamic structures using panel data when the dynamic structure of economic variables are heterogeneous across observation units. In particular, we developed methods to estimate the distributions of heterogeneous mean, autocovariance, and autocorrelations, and derived the asymptotic properties of the proposed estimation methods. Further, we developed a bias correction method based on jackknife and statistical inference procedures based on bootstrap. Monte Carlo simulations were conducted to examine the finite sample properties of the proposed procedures. We carried out empirical analyses on income and productivity dynamics to illustrate the use of the proposed procedures.

Free Research Field

計量経済学