Statistical analysis of mixed frequency data: Theory and macroeconomic applications
| Project/Area Number |
16K17104
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
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| Research Institution | Kobe University |
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Principal Investigator |
Motegi Kaiji 神戸大学, 経済学研究科, 講師 (60742848)
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| Research Collaborator |
GHYSELS Eric
HILL Jonathan B.
SADAHIRO Akira
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| Project Period (FY) |
2016-04-01 – 2019-03-31
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| Project Status |
Completed (Fiscal Year 2018)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2018: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2017: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | 時系列分析 / Mixed Data Sampling / グランジャー因果性検定 / ホワイトノイズ検定 / 最大値検定 / マクロ経済分析 / 失われた10年 / 株式市場の効率性 / 計量経済学 / グランジャー因果性 / 応用マクロ経済学 / 経済統計学 |
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| Outline of Final Research Achievements |
Time series are sampled at various frequencies including monthly, quarterly, and yearly. Mixed Data Sampling (MIDAS) econometrics is an innovative approach to analyze mixed frequency data without performing temporal aggregation. In the present research, I resolve three problems which are related with MIDAS. First, I propose a mixed frequency Granger causality test (i.e., test of incremental predictive ability) that operates well even when the ratio of sampling frequencies is relatively large. Second, I propose a white noise test (i.e., test of unpredictability) that can be applied to a residual from a regression model involving many parameters. Third, I revealed that the declined Japanese stock prices were a main cause of the sluggish private investment in Japan during the Lost Decade.
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| Academic Significance and Societal Importance of the Research Achievements |
統計学や計量経済学において現在最も関心を集めている研究テーマのひとつは、推定すべきパラメータの数や検定すべき仮説の数がサンプルサイズに比べて大きいとき、推定や検定をどのように実行すべきかという問題である（高次元の問題）。本研究で提案したグランジャー因果性検定とホワイトノイズ検定は、MIDASに関する問題のみならず、高次元の問題全般に対する画期的な解決策であるといえる。さらに、本研究で行った日米のマクロ経済分析や世界の株式市場の効率性の検証は、資産運用、経営戦略、財政金融政策などの実務に対して極めて有用な知見を与えるものである。
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Report
(4 results)
Research Products
(28 results)
