Bayesian Methods for Economic Panel Data
| Project/Area Number |
16530137
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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 | HOKKAIDO UNIVERSITY |
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Principal Investigator |
HASEGAWA Hikaru Hokkaido University., Graduate School of Economics and Business Administration, professor, 大学院経済学研究科, 教授 (30189534)
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| Project Period (FY) |
2004 – 2006
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| Project Status |
Completed (Fiscal Year 2006)
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| Budget Amount *help |
¥3,600,000 (Direct Cost: ¥3,600,000)
Fiscal Year 2006: ¥900,000 (Direct Cost: ¥900,000)
Fiscal Year 2005: ¥1,400,000 (Direct Cost: ¥1,400,000)
Fiscal Year 2004: ¥1,300,000 (Direct Cost: ¥1,300,000)
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| Keywords | Panel data / Bayesian method / Demand system / Engel function / pseudo panel data / Markov chain Monte Carlo / Inequality measure / 擬似パネルモデル / 動学モデル |
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| Research Abstract |
In this research, I considered the Bayesian estimation methods for economic panel data using Markov chain Monte Carlo (MCMC). First, I proposed a Bayesian method for estimating the almost ideal demand system proposed by Deaton and Muellbauer using the panel data that includes zero expenditures. I dealt explicitly with the problem of zero expenditures in the model and estimate the almost ideal demand system that satisfy the adding-up condition. Furthermore, using MCMC, I estimated unobservable parameters including consumption of commodities, total consumption and equivalence scale and used their posterior distributions to calculate inequality measures, total consumption elasticities, and price elasticities.
Next, I proposed the Bayesian method for the static pseudo panel model which is based on Hausman and Taylor model. Further, I extended the static pseudo panel model to the dynamic pseudo panel model and proposed the Bayesian estimation method. It is noteworthy that in the Bayesian approach no additional variation data (i.e., instrumental variables) are required in contrast with non-Bayesian approach.
I wrote three articles on this project. One of them has already submitted to an international journal. I make the others ready to submit.
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Report
(5 results)
Research Products
(1 results)
