Measurement of Model Uncertainty Aversion and International Comparison in Heterogeneity

• Project/Area Number: 15K03391
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: University of Tsukuba
• Principal Investigator: Okubo Masakatsu 筑波大学, システム情報系, 准教授 (30334600)
• Project Period (FY): 2015-04-01 – 2018-03-31
• Project Status: Completed (Fiscal Year 2017)
• Budget Amount: ¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000); Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2016: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2015: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
• Keywords: モデル不確実性 / 経済統計学 / 計量経済学

Outline of Final Research Achievements

This study proposed a new method for measuring model uncertainty and investigated the existence of heterogeneity in model uncertainty by applying it to international data including developed and developing countries. The method is applicable to a class of models widely used in the literature, including the random walk, trend-stationary, long-run risk, and idiosyncratic risk models. The empirical results show that there is considerable variation in the extent of model uncertainty among developed and developing countries.