Bayesian Estimation of Unknown Regression Error Heteroscedasticity

• Project/Area Number: 19530178
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Hitotsubashi University
• Principal Investigator: SHIBA Tsunemasa Hitotsubashi University, 大学院・経済学研究科, 教授 (90187386)
• Co-Investigator(Kenkyū-buntansha): CHIGIRA Hiroaki 東北大学, 大学院・経済学研究科, 准教授 (30447122)
• Project Period (FY): 2007 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000); Fiscal Year 2008: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000); Fiscal Year 2007: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
• Keywords: 計量経済学 / ベイズ / マルコフ連鎖モンテカルロ法 / 分散不均一性 / MCMC / ホワイトのHCCM / 分散構造未知 / ベイズ計量経済学 / 分散推定 / 直交回帰説明変数 / 事前情報 / 収益率分散

Research Abstract

回帰モデルにおける誤差項の不均一分散を推定・検定する分野の既存の文献は、例外なく分散構造をモデル化してきた。これに対し本研究では、分散構造を全くモデル化をしないでノンパラメトリックに推定する方法を開発した。本研究では主に二つの方法で、この困難な問題を解決した。推定すべき不均一分散パラメタ-は標本の大きさに従って増加し、通常なら識別不能であるが、これを回帰モデルの中で解決した。次に標本理論で有名なホワイトの一致性を持つ回帰係数の推定分散を利用して、ベイズ計量経済学の枠組みでマルコフ連鎖モンテカルロ法を設計し、これが実際に使えることを示し良好なパフォーマンスを実証例でも確認した。

Research Products

• [Journal Article] Bayesian Estimation of Unknown Regression Error Heteroscedasticity (2009)
  • Author(s): Hiroaki Chigira and Tsunemasa Shiba
  • Journal Title: Institute of Economic Research, Hitotsubashi University #51
• [Journal Article] Bayesian Estimation of Unknown Regression Error Hetero scedasticity (2009)
  • Author(s): Hiroaki Chigira, Tsunemasa Shiba
  • Journal Title: Global COE Hi-Stat Discussion Paper Series #051 Pages: 1-27
• [Journal Article] Bayesian Estimation of Unknown Regression Error Hetero scedasticity (2009)
  • Author(s): Hiroaki Chigira, Tsunemasa Shiba
  • Journal Title: CFEE Discussion Paper Series #2008-2 Pages: 1-27
• [Journal Article] Bayesian Estimation of Unknown Regression Error Heteroscedasticity (2007)
  • Author(s): Hiroaki Chigira and Tsunemasa Shiba
  • Journal Title: Institute of Economic Research, Hitotsubashi University No.221
• [Journal Article] Bayesian Estimation of Unknown Regression Error Heteroscedasticity (2007)
  • Author(s): Hiroaki Chigira and Tsunemasa Shiba
  • Journal Title: Hi-Stat Discussion Paper #221 Pages: 1-20
• [Journal Article] Bayesian Estimation of Unknown Heteroscedastic Variances (2006)
  • Author(s): Hiroaki Chigira and Tsunemasa Shiba
  • Journal Title: Institute of Economic Research, Hitotsubashi University No.185
• [Journal Article] 構造を仮定しない不均一分散の推定 (2006)
  • Author(s): 千木良弘, 朗斯波恒正
  • Journal Title: 一橋経済学 第1巻,第1号 Pages: 1-13
  • NAID: 110007622480
• [Journal Article] 構造を仮定しない不均一分散の推定(注 : 創刊号の巻頭論文) (2006)
  • Author(s): 千木良 弘朗, 斯波 恒正
  • Journal Title: 一橋経済学 1 Pages: 1-13
• [Journal Article] Equivalence of Two Expressions of the Impact Matrix
  • Author(s): Kurozumi, E., Chigira, H. and Yamamoto,T
  • Journal Title: Econometric Theory vol.21, No.4 Pages: 870-875
  • NAID: 120000823627
  • Peer Reviewed
• [Journal Article] A Test of Serial Independence of Deviations from Cointegrating Relations
  • Author(s): Chigira, H
  • Journal Title: Economics Letters vol.92, No.1 Pages: 52-57
  • NAID: 120006933875
  • Peer Reviewed
• [Presentation] Far Eastern Econometric Society Meeting (2008)
  • Author(s): Hiroaki Chigira and Tsunemasa Shiba
  • Organizer: Singapore Management University
  • Place of Presentation: Singapore
  • Year and Date: 2008-07-17
• [Presentation] Bayesian Estimation of Unknown Regression Error Heteroscedasticity (2008)
  • Author(s): Tsunemasa Shiba
  • Organizer: Far Eastern and South Asian Meeting of the Econometric Society
  • Place of Presentation: Singapore Management University
  • Year and Date: 2008-07-17
• [Remarks]
  • URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd08-051.pdf
• [Remarks]
  • URL: http://www.econ.hit-u.ac.jp/~finmodel/papers/DP2008-2ChigiraShiba.pdf
• [Remarks]
  • URL: http://hermes-ir.lib.hit-u.ac.ip/rs/bitstream/10086/15457/2/keizai00101000lO.pdf
• [Remarks]
  • URL: http://21coe.ier.hit-u.ac.jp/research/discussion/2007/pdf/D07-221.pdf