2006 Fiscal Year Final Research Report Summary

Econometric Model Analysis with Panel Count Data

Research Project

Project/Area Number	16530140
Research Category	Grant-in-Aid for Scientific Research (C)
Allocation Type	Single-year Grants
Section	一般
Research Field	Economic statistics
Research Institution	Osaka University
Principal Investigator	OYA Kosuke Osaka University, Graduate School of Economics, Professor, 大学院経済学研究科, 教授 (20233281)
Project Period (FY)	2004 – 2006
Keywords	Count Data / Panel Data / Dynamic Model
Research Abstract	The purpose of this research is to investigate the statistical properties of the estimators of the panel data model. The count data is not continuous but discrete. Its likelihood function is complicated to use for the estimation of unknown parameters included in the model. Although the likelihood of the count data model which is static can be evaluated numerically, the estimation of the dynamic model with panel count data is hard because of the incidental parameter problem. In this research, the derivatives of the log-likelihood function of the dynamic model with panel count data have been given. This research shows that the conditional maximum likelihood approach which is used for the static model can not be applied since the likelihood function consisted of convolutions of two non-negative integer-valued random variables.

(2 results)