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Lag Augmentation in Dynamic Econometric Models

Research Project

Project/Area Number 10630021
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionHitotsubashi University

Principal Investigator

YAMAMOTO Taku  Hitotsubashi University, Professor, Department of Economics, 大学院・経済学研究科, 教授 (50104716)

Project Period (FY) 1998 – 1999
Project Status Completed (Fiscal Year 1999)
Budget Amount *help
¥2,100,000 (Direct Cost: ¥2,100,000)
Fiscal Year 1999: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 1998: ¥1,400,000 (Direct Cost: ¥1,400,000)
KeywordsEconometric models / Hypothesis test / Wald test / Lag augmentation / Variable lag / Time series model / VAR models / Monte Carlo experiments / 非定常時系列分析 / ワルド検定 / ベクトル自己回帰モデル / 小標本特性
Research Abstract

It has been widely known that the Wald test statistic for parameters in a dynamic model with non-stationary regressors occasionally has a non-standard asymptotic distribution. To cope with this difficulty, the lag augmentation (LA) approach has been proposed for estimating a dynamic model. It is known to be quite useful compared with other advanced but complicated methods, since the LA approach produces the Wald statistic with asymptotically chi-square distribution.
In 1998, we showed that the LA approach is applicable to usual dynamic regression models, although the method was originally developed solely for vector autoregressive (VAR) models. Further, we found that the Wald test statistic tends to have higher power with a lagged variable of a longer lag length rather than that of one lag. In 1999, based upon the comprehensive experiments, we have proposed the criteria for selecting a suitable lag length, which is based upon a generalized variance of an estimated variance-covariance matrix of coefficient parameters. Further, we have generalized the application of the LA approach to simultaneous equation systems where regressors and error terms are correlated. Thus, it has been shown that the LA is applicable in conjunction with the instrumental variable (IV) method. The Monte Carlo experiment has revealed the effectiveness of approaches proposed in the present research.

Report

(3 results)
  • 1999 Annual Research Report   Final Research Report Summary
  • 1998 Annual Research Report
  • Research Products

    (6 results)

All Other

All Publications (6 results)

  • [Publications] Eiji Kurozumi and Taku Yamamoto: "Modified Log Augmented Vector Autoregressions"Econometric Reviews. (印刷中). (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Yoichi Arai and Taku Yamamoto: "Alternative Representation for Asymptotic Distributions Impulse Responses in Cointegrated VAR Systems"Economics Letters. (印刷中). (2000)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Eiji Kurozumi and Taku Yamamoto: "Modified Lag Augmented Vector Auto-regressions"Econometric Reviews. (forthcoming).

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Yoichi Arai and Taku Yamamoto: "Alternative Representation for Asymptotic Distributions of Impulse Responses in Cointegrated VAR Systems"Economics Letters. (forthcoming).

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1999 Final Research Report Summary
  • [Publications] Eiji Kurozumi and Taku Yamamoto: "Modified Lag Augmented Autoregressions"Econometric Reviews. (印刷中). (2000)

    • Related Report
      1999 Annual Research Report
  • [Publications] Yoichi Arai and Taku Yamamoto: "Alternative Representation for Asymptotic Distributions Impulse Responses in Cointegrated VAR Systems"Economics Letters. (印刷中). (2000)

    • Related Report
      1999 Annual Research Report

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Published: 1998-04-01   Modified: 2016-04-21  

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