Testing for the rational bubble in time series analysis

• Project/Area Number: 19830044
• Research Category: Grant-in-Aid for Young Scientists (Start-up)
• Allocation Type: Single-year Grants
• Research Field: Economic statistics
• Research Institution: Kyushu University
• Principal Investigator: KATAYAMA Naoya Kyushu University, 大学院・経済学研究院, 准教授 (80452720)
• Project Period (FY): 2007 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥2,973,000 (Direct Cost: ¥2,580,000、Indirect Cost: ¥393,000); Fiscal Year 2008: ¥1,703,000 (Direct Cost: ¥1,310,000、Indirect Cost: ¥393,000); Fiscal Year 2007: ¥1,270,000 (Direct Cost: ¥1,270,000)
• Keywords: 時系列解析 / 合理的バブル / 自己回帰モデル / 非定常 / 単位根モデル

Research Abstract

TOPIXとIT・情報関連企業の多いTOPIX業種別について調べたところ,1990年初頭のバブル崩壊の検出はADF検定統計量は検出できなかった.しかしADF検定統計量を異時点で逐次的に計算し最大値をとったsupADF検定統計量では合理的バブルが検出された.またモデルのあてはまりのよさを調べる検定(かばん検定)についても結果を得た.

Research Products

• [Journal Article] Asymptotic Prediction of Mean Squared Error for Long-Memory Processes with Estimated Parameters (2008)
  • Author(s): Naoya Katayama
  • Journal Title: Journal of Forecasting 27(8) Pages: 690-720
• [Journal Article] An Improvement of the Portmanteau Statistic (2008)
  • Author(s): Naoya Katayama
  • Journal Title: Journal of Time Series Analysis 29(2) Pages: 359-370
• [Journal Article] Seasonally and Fractionally Differenced Time Series (2007)
  • Author(s): Naoya Katayama
  • Journal Title: Hitotsubashi Journal of Economics Vol.48, No.1 Pages: 25-55
  • NAID: 110007629902
• [Journal Article] Seasonally and Fractionally Differenced Time Series (2007)
  • Author(s): Naoya Katayama
  • Journal Title: Hitotsubashi Journal of Economics 48, No.1 Pages: 25-55
  • NAID: 110007629902
  • Peer Reviewed
• [Journal Article] On Multiple Portmanteau Tests
  • Author(s): Naoya Katayama
  • Journal Title: Journal of Time Series Analysis (掲載決定)
  • NAID: 40016109143
  • Peer Reviewed
• [Presentation] On Multiple Portmanteau Tests (2009)
  • Author(s): Naoya Katayama
  • Organizer: International Conference on Econometrics and the World Economy
• [Presentation] On Multiple Portmanteau Tests (2009)
  • Author(s): Naoya Katayama
  • Organizer: 関西計量経済学研究会2008年度研究発表会
• [Presentation] Portmanteau Likelihood Ratio Tests for Morel Selection (2008)
  • Author(s): Naoya Katayama
  • Organizer: Far Eastern and South Asian Meeting of the Econometric Society)
  • Place of Presentation: Singapole Management university
  • Year and Date: 2008-07-17
• [Presentation] On Multiple Portmanteau Tests (2008)
  • Author(s): Naoya Katayama
  • Organizer: 統計関連学会連合大会(日本統計学会2008年度第76回大会)
• [Presentation] Portmanteau Likelihood Ratio Tests for Morel Selection (2008)
  • Author(s): Naoya Katayama
  • Organizer: Far Eastern and South Asian Meeting of the Econometric Society
• [Presentation] モデル選択のための簡単な尤度比検定の提案 (2008)
  • Author(s): Naoya Katayama
  • Organizer: 関西計量経済学研究会2007年度研究発表会
• [Presentation] 長期記憶時系列の金融・経済分野への応用 (2007)
  • Author(s): Naoya Katayama
  • Organizer: 第10回情報論的学習理論ワークショップ(IBIS 2007)
• [Presentation] Comments on Likelihood Analysis of Weak Exogeneity in I(2)Systems and reduced Econometric Representations by Takamitsu Kurita (2007)
  • Author(s): Naoya Katayama
  • Organizer: 日本経済学会2007年度秋季大会
• [Presentation] かばん検定統計量のバイアスについて (2007)
  • Author(s): Naoya Katayama
  • Organizer: 統計関連学会連合大会(日本統計学会2007年度第75回大会)
• [Presentation] On the Bias of the Portmanteau Statistic(359-370) (2007)
  • Author(s): Naoya Katayama
  • Organizer: The Third Symposium on Econometric Theory and Applications SETA2007. Published in Journal of Time Series Analysis, issue 29 (2)
• [Presentation] 長期記憶時系列の金融・経済分野への応用 (2007)
  • Author(s): 片山 直也
  • Organizer: 第10回情報論的学習理論ワークショップ(IBIS2007)
  • Place of Presentation: 東京工業大学
• [Presentation] かばん検定統計量のバイアスについて (2007)
  • Author(s): 片山 直也
  • Organizer: 統計関連学会連合大会(日本統計学会2007年度第75回大会)
  • Place of Presentation: 神戸大学
• [Presentation] On the Bias of the Portmanteau Statistic (2007)
  • Author(s): Naoya Katayama
  • Organizer: The Third Symposium on Econometric Theory and Applications(SETA2007)
  • Place of Presentation: 香港科技大学
• [Remarks]
  • URL: http://hyoka.ofc.kyushu-u.ac.jp/search/details/K003132/research.html
• [Remarks]
  • URL: http://hyoka.ofc.kyushu-u.ac.jp/search/details/KOO3132/research.html