Bayesian Methods for Economic Panel Data

经济面板数据的贝叶斯方法

• 批准号: 16530137
• 负责人: HASEGAWA Hikaru
• 金额: $ 2.3万
• 依托单位: HOKKAIDO UNIVERSITY
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2004
• 资助国家: 日本
• 起止时间: 2004 至 2006
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/en/grant/KAKENHI-PROJECT-16530137/
• 关键词: 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

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.

在这项研究中，我考虑了使用马尔可夫链蒙特卡罗（MCMC）的经济面板数据的贝叶斯估计方法。首先，我提出了一种贝叶斯方法，用于估计 Deaton 和 Muellbauer 提出的使用包含零支出的面板数据的近乎理想的需求系统。我在模型中明确处理了零支出问题，并估计了满足加和条件的近乎理想的需求系统。此外，利用MCMC估计了不可观测的参数，包括商品消费、总消费和等价规模，并利用它们的后验分布来计算不平等测度、总消费弹性和价格弹性。接下来，我提出了基于Hausman和Taylor模型的静态伪面板模型的贝叶斯方法。进一步，我将静态伪面板模型扩展到动态伪面板模型，并提出了贝叶斯估计方法。值得注意的是，与非贝叶斯方法相比，贝叶斯方法不需要额外的变异数据（即工具变量）。我就这个项目写了三篇文章。其中一篇已经提交给国际期刊。我让其他人准备好提交。

项目成果

Estimation of Engel curves from survey data with zero expenditures

• DOI: 10.1111/j.1468-0084.2008.00507.x
• 发表时间: 2008-08-01
• 期刊: OXFORD BULLETIN OF ECONOMICS AND STATISTICS
• 影响因子: 2.5
• 作者: Hasegawa, Hikaru;Ueda, Kazuhiro;Mori, Kunie
• 通讯作者: Mori, Kunie