Panel Database and its Statistical Analysis on the Network

如果未观察到的个体效应和干扰是相关的，则对混合截面和时间序列数据的最小二乘产生不一致的估计量。众所周知，对于这些重复的横截面，一个工具变量估计量产生一个一致的估计量。最重要的一类仪器是基于时间函数的，因为固定效应是时不变的，因此必须与时间函数无关。微数据通常包含外生时不变特征的信息，如出生年份。该工具变量估计器的特殊情况是计算年龄队列细胞的组均值，并将其用于与队列假人的回归。这种方法被称为“伪面板数据”。我们从1984年、1989年和1994年进行的家庭收入和支出调查中构建了伪面板数据。我们考虑户主年龄和居住地为时不变变量。我们将1984年户主年龄在20岁至70岁之间的家庭样本按年龄和地点进行汇总，并将47个县作为地点。因此，我们有以下队列。然后，我们估计了消费和流动性约束模型。在此模型中，使用伪面板数据推导并测试了存在借贷约束的消费含义。估计结果支持无法以未来劳动收入为抵押借款影响消费支出的假设。我们开发了一个企业数据库，其中包括日本2000多家公司40年来的财务数据。日本开发银行提供原始数据。该数据库建立在大阪大学经济系的WWW服务器上。URL地址为http://panel.econ.osaka-u.ac.jp/micro/。利用这些数据，我们通过估算投资函数来检验不确定性与日本制造业企业固定投资之间的关系。少

Least squares on the pooled cross-section and time series data yields inconsistent estimator if unobserved individual effects and disturbances are correlated. It is well known that an instrumental variable estimator yields a consistent estimator for these repeated cross section. The most important class of instruments is based on functions of time, because the fixed effect is time-invariant and hence must be uncorrelated with functions of time. Micro data usually contain information on exogenous time invariant characteristic such as the year of birth. The special case of this instrumental variable estimator is to compute group means of age-cohort cells, and use them in regression with cohort dummy. This method is called "Pseudo Panel Data".We constructed pseudo panel data from the Family Income and Expenditure Survey conducted in 1984, 1989 and 1994. We consider the age of household heads and the residential location as the time-invariant variables. We aggregate the sample of household … More s by ages and locations, in which age of head was between 20 and 70 years old in 1984, and the 47 prefectures are treated as locations. Consequently, we have the following cohorts.Then, we estimated the model of consumption and liquidity constraints. In this model, implications for consumption in the presence borrowing constraints are derived and tested using the pseudo panel data. The estimated results support, the hypothesis that an inability to borrow against future labor income affects the consumption expenditures.We developed a database of corporate firms, which includes financial data of more than 2000 companies in Japan over 40 years. The Japan Development Bank supplies original data. The database is constructed on the WWW server at the Faculty of Economics, Osaka University. The URL address is http://panel.econ.osaka-u.ac.jp/micro/. Using these data, we examine the relationship between uncertainty and corporate fixed investment for Japanese manufacturing industries by estimating the investment function. Less