• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

Statistical inference for nonlinear dynamic model by Markov chain Monte Carlo method

Research Project

Project/Area Number 15500181
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Statistical science
Research InstitutionThe University of Tokyo

Principal Investigator

OMORI Yasuhiro  The University of Tokyo, Faculty of Economics, Associate Professor, 大学院・経済学研究科, 助教授 (60251188)

Co-Investigator(Kenkyū-buntansha) WAGO Hajime  Nagoya University, Department of Economics, Professor, 大学院・経済学研究科, 教授 (00091934)
WATANABE Toshiaki  Tokyo Metropolitan University, Faculty of Economics, Professor, 経済学部, 教授 (90254135)
Project Period (FY) 2003 – 2004
Project Status Completed (Fiscal Year 2004)
Budget Amount *help
¥3,700,000 (Direct Cost: ¥3,700,000)
Fiscal Year 2004: ¥1,900,000 (Direct Cost: ¥1,900,000)
Fiscal Year 2003: ¥1,800,000 (Direct Cost: ¥1,800,000)
KeywordsMarkov chain Monte Carlo / latent variable / Stochastic volatility model / Dynamic Model / Bayesian approach / Random effect / ベイズ推定 / 非線形モデル
Research Abstract

In the econometric analysis of macroeconomic data, dynamic structures of individual characteristics or unobserved variables have been ignored since microeconomic data were not easily available and these random effects are also considered to be cancelled out after aggregating microeconomic data. However, it has been pointed out that ignoring these random effects or unobserved variables (latent variables) would lead to the bias in the estimation of model parameters. Recently, microeconomic data have started to become disclosed such as panel data which describes dynamic structure of individual characteristics. Using these microeconomic data, we are able to model true structure of individual economic behavior. Various econometric models are proposed to deal with dynamic modeling of latent variables since 1999's.
When there are many latent variables, the conventional maximum likelihood estimation requires the repeated evaluations of highly multidimensional numerical integration. We need to u … More se supercomputers to conduct such computations or we have to approximate the likelihood at the expense of computational accuracies. There are even some cases in which the numerical maximization step fails to converge to the maximum of the likelihood functions. Although alternative approaches such as GEE or GMM methods have been proposed to estimate these models based on methods which are robust to the existence of latent variables, those estimation methods are known to be inefficient.
In this project, we take Bayesian approach and proposed efficient Markov chain Monte Carlo (MCMC) estimation method for various statistical and econometric nonlinear dynamic models. To obtain marginal posterior distribution of model parameters, the MCMC estimation method is known to provide accurate multidimensional integration using simulation method. The MCMC method is computer intensive, but these computations can be done by PC's (note that we do not need supercomputers). When there exist latent variables in the models or we introduce auxiliary variables (for the data augmentation method), the convergence of MCMC samples to the target distribution (posterior distribution) may even be accelerated in some models.
We considered various nonlinear dynamic models : duration models for business cycle dependence, stochastic volatility model with leverage effects, Markov switching and heavy-tailed errors (based on mixture of normal distributions), and stochastic volatility model for foreign exchange markets. We first proposed simple sampling methods (such as single-move sampler which samples one parameter at a time) for these models and elaborate the multi-move samplers (which samples a block of parameters) to improve the speed of the convergence to the target posterior distributions. Less

Report

(3 results)
  • 2004 Annual Research Report   Final Research Report Summary
  • 2003 Annual Research Report
  • Research Products

    (48 results)

All 2005 2004 2003 Other

All Journal Article (39 results) Book (2 results) Publications (7 results)

  • [Journal Article] マルコフ連鎖モンテカルロ法とその応用2005

    • Author(s)
      大森裕浩, 和合肇
    • Journal Title

      ベイズ計量経済分析-マルコフ連鎖モンテカルロ法とその応用

      Pages: 39-99

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 計量経済分析へのベイズ統計学の応用2005

    • Author(s)
      和合肇, 大森裕浩
    • Journal Title

      ベイズ計量経済分析-マルコフ連鎖モンテカルロ法とその応用

      Pages: 1-37

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 景気動向指数の継続時間分析2005

    • Author(s)
      大森裕浩
    • Journal Title

      ベイズ計量経済分析-マルコフ連鎖モンテカルロ法とその応用

      Pages: 151-174

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility2005

    • Author(s)
      Watanahe, T., Harada, K.
    • Journal Title

      Journal of the Japanese and International Economies. (in press)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] マルチ・ムーブ・サンプラーを用いた確率的ボラティリティ変動モデルのベイズ推定2005

    • Author(s)
      渡部敏明
    • Journal Title

      ベイズ計量経済分析-マルコフ連鎖モンテカルロ法とその応用

      Pages: 259-294

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 確率的ボラティリティ変動モデル:分析法とモデルの発展2005

    • Author(s)
      渡部敏明
    • Journal Title

      日本大学経済科学研究所紀要 35

      Pages: 111-133

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Bayesian analysis of Econometrics2005

    • Author(s)
      Wago, H., Omori, Y.
    • Journal Title

      Bayesian Econometrics (in Japanese) Chapter 1

      Pages: 1-37

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Markov chain Monte Carlo method and its applications2005

    • Author(s)
      Omori, Y., Wago, H.
    • Journal Title

      Bayesian Econometrics (in Japanese) Chapter 2

      Pages: 39-99

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Duration analysis of Diffusion Indexes of Business Conditions2005

    • Author(s)
      Omori, Y.
    • Journal Title

      Bayesian Econometrics (in Japanese) Chapter 5

      Pages: 151-174

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility2005

    • Author(s)
      Watanabe, T., Harada, K.
    • Journal Title

      Journal of the Japanese and International Economies. (forthcoming)

    • NAID

      120006933666

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Bayesian analysis of stochastic volatility model using multi-move sampler2005

    • Author(s)
      Watanabe, T.
    • Journal Title

      Bayesian Econometrics (in Japanese) Chapter 9

      Pages: 259-294

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Recent development of stochastic volatility models and their estimation methods2005

    • Author(s)
      Watanabe, T.
    • Journal Title

      Bulletin of the Research Institute of Economic Science, College of Economics, Ninon University, (in Japanese) 35

      Pages: 111-133

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 景気動向指数の継続時間分析2005

    • Author(s)
      大森裕浩
    • Journal Title

      マルコフ連鎖モンテカルロ法を用いた応用計量分析

      Pages: 151-174

    • Related Report
      2004 Annual Research Report
  • [Journal Article] マルチ・ムーブ・サンプラーを用いた確率的ボラティリティ変動モデルのベイズ推定2005

    • Author(s)
      渡部敏明
    • Journal Title

      マルコフ連鎖モンテカルロ法を用いた応用計量分析

    • Related Report
      2004 Annual Research Report
  • [Journal Article] マルコフ連鎖モンテカルロ法とその応用2005

    • Author(s)
      大森裕浩, 和合肇
    • Journal Title

      マルコフ連鎖モンテカルロ法を用いた応用計量分析

    • Related Report
      2004 Annual Research Report
  • [Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt (1997)2004

    • Author(s)
      Watanabe, T., Omori, Y.
    • Journal Title

      Biometrika 91

      Pages: 246-248

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Realized Volatilityを用いた日経225先物価格のボラティリティの予測2004

    • Author(s)
      柴田舞, 渡部敏明
    • Journal Title

      大阪証券取引所『先物・オプションレポート』 16-12

      Pages: 2-5

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 日経225先物の価格および取引高の日中の変動パターン2004

    • Author(s)
      渡部敏明
    • Journal Title

      大阪証券取引所『先物・オプションレポート』 16-7

      Pages: 2-5

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 日本の景気変動の構造変化と日経225先物取引2004

    • Author(s)
      渡部敏明, 内山博邦
    • Journal Title

      財務省財務総合政策研究所『フィナンシャル・レビュー』 73

      Pages: 153-164

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A multi-move sampler for estimating non-Gaussian time series models : Comments on Shephard and Pitt (1997)2004

    • Author(s)
      Watanabe, T, Omori, Y.
    • Journal Title

      Biometrika 91

      Pages: 246-248

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Prediction of Nikkei 225 future price volatility using realized volatility2004

    • Author(s)
      Shibata, M., Watanabe, T.
    • Journal Title

      Future Option Report, Osaka Securities Exchange (in Japanese) 16-12

      Pages: 2-5

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Daily pattern of Nikkei 225 future price and transaction volume2004

    • Author(s)
      Watanabe, T.
    • Journal Title

      Future Option Report, Osaka Securities Exchange (in Japanese) 16-7

      Pages: 2-5

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Structural change in Japanese business fluctuations and Nikkei 225 stock index futures transactions2004

    • Author(s)
      Watanabe, T., Uchiyama, H.
    • Journal Title

      Financial Review, Ministry of Finance, Policy Research Institute (in Japanese) 73

      Pages: 153-164

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Hedge efficiency by using bivariate GARCH model2004

    • Author(s)
      Watanabe, T., Shibata, M.
    • Journal Title

      Future Option Report, Osaka Securities Exchange (in Japanese) 16

      Pages: 2-5

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] A multi-move sampler for estimating non-Gaussian times series models : Comments on Shephard and Pitt(1997)2004

    • Author(s)
      Watanabe, T., Omori, Y
    • Journal Title

      Biometrika 91

      Pages: 246-248

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Stochastic volatility model with leverage : fast likelihood inference2004

    • Author(s)
      Omori, Y., Chib, S., Shephard, N., Nakajima, J
    • Journal Title

      Discussion paper series, Faculty of Economics, University of Tokyo. CIRJE-F-297

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Effects of the Bank of Japan's Intervention on Yen/Dollar Exchange Rate Volatility2004

    • Author(s)
      Watanabe, T., Harada, K
    • Journal Title

      Journal of the Japanese and International Economies.

    • NAID

      120006933666

    • Related Report
      2004 Annual Research Report
  • [Journal Article] Estimation for unequally spaced time series of counts with serially correlated random effects2003

    • Author(s)
      Omori, Y.
    • Journal Title

      Statistics and Probability Letters 63

      Pages: 1-12

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Discrete duration model having autoregressive random effects with application to Japanese diffusion index2003

    • Author(s)
      Omori, Y.
    • Journal Title

      Journal of the Japan Statistical Society 33

      Pages: 1-22

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] ミクロデータにおける母集団一意性の事後確率2003

    • Author(s)
      大森裕浩
    • Journal Title

      統計数理 51

      Pages: 223-239

    • NAID

      120006019131

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] The Estimation of Dynamic Bivariate Mixture Models : Reply to Liesenfeld and Richard Comments2003

    • Author(s)
      Watanabe, T.
    • Journal Title

      Journal of Business & Economic Statistics 21

      Pages: 577-580

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 2変量GARCHモデルによるヘッジの効率性2003

    • Author(s)
      渡部敏明, 柴田舞
    • Journal Title

      大阪証券取引所『先物・オプションレポート』 15-6

      Pages: 2-5

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] ベイズ推定法によるGARCHオプション価格付けモデルの分析2003

    • Author(s)
      三井秀俊, 渡部敏明
    • Journal Title

      日本統計学会誌 33

      Pages: 307-324

    • NAID

      110003160804

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] 日経225オプションデータを使ったGARCHオプション価格付けモデルの検証2003

    • Author(s)
      渡部敏明
    • Journal Title

      日本銀行金融研究所『金融研究』 22

      Pages: 1-34

    • NAID

      40006027632

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Estimation for unequally spaced time series of counts with serially correlated random effect2003

    • Author(s)
      Omori, Y.
    • Journal Title

      Statistics and Probability Letters 63

      Pages: 1-12

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Posterior probability of population uniqueness in microdata2003

    • Author(s)
      Omori, Y.
    • Journal Title

      Proceedings of the Institute of Statistical Mathematics (in Japanese) 51-2

      Pages: 223-239

    • NAID

      120006019131

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] The Estimation of Dynamic Bivariate Mixture Models : Reply to Liesenfeld and Richard Comments2003

    • Author(s)
      Watanabe, T.
    • Journal Title

      Journal of Business & Economic Statistics 21, 4

      Pages: 577-580

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Bayesian analysis of GARCH option pricing models2003

    • Author(s)
      Mitsui, H., Watanabe, T.
    • Journal Title

      Journal of the Japan Statistical Society, Japanese Issue (in Japanese) 33-3

      Pages: 307-324

    • NAID

      110003160804

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Journal Article] Verification of GARCH option pricing models using Nikkei 225 Option data2003

    • Author(s)
      Watanabe, T.
    • Journal Title

      Kinyu Kenkyu, Institute for Monetary and Economic Studies, Bank of Japan (in Japanese) 22-1

      Pages: 1-34

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Book] ベイズ計量経済分析-マルコフ連鎖モンテカルロ法とその応用2005

    • Author(s)
      和合肇編
    • Total Pages
      387
    • Publisher
      東洋経済
    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Book] Bayesian Econometrics2005

    • Author(s)
      Wago, H. ed.
    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2004 Final Research Report Summary
  • [Publications] Omori, Y.: "Estimation for unequally spaced time series of counts with serially correlated random effects"Statistics and Probability Letters. 63. 1-12 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] Omori, Y.: "Discrete duration model having autoregressive random effects with application to Japanese diffusion index"Journal of the Japan Statistical Society. 33. 1-22 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] Wago, H.: "Bayesian estimation of smooth transition GARCH model using Gibbs sampling"Mathematics and Computers in Simulation. 64. 63-78 (2004)

    • Related Report
      2003 Annual Research Report
  • [Publications] Watanabe, T., Omori, Y.: "A multi-move sampler for estimating non-Gaussian times series models Comments on Shephard and Pitt (1997)"Biometrika. 91・1. 246-248 (2004)

    • Related Report
      2003 Annual Research Report
  • [Publications] 三井秀俊, 渡部敏明: "ベイズ推定法によるGARCHオプション価格付けモデルの分析"日本統計学会誌. 33・3. 307-324 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] Watanabe, T.: "The Estimation of Dynamic Bivariate Mixture Models : Reply to Liesenfeld and Richard Comments"Journal of Business & Economic Statistics. 24・4. 577-580 (2003)

    • Related Report
      2003 Annual Research Report
  • [Publications] 和合肇編(和合, 大森, 渡部他共著): "マルコフ連鎖モンテカルロ法を用いた応用計量分析"東洋経済新報社. 400 (2004)

    • Related Report
      2003 Annual Research Report

URL: 

Published: 2003-04-01   Modified: 2016-04-21  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi