Properties of cointegration tests in misspecified nonlinear models
| Project/Area Number |
20730146
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | University of the Ryukyus |
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Principal Investigator |
MAKI Daiki University of the Ryukyus, 経済学部, 講師 (60423737)
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| Project Period (FY) |
2008 – 2009
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| Project Status |
Completed (Fiscal Year 2009)
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| Budget Amount *help |
¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2009: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2008: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
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| Keywords | 共和分 / 非線形 / モデル特定化 / 閾値自己回帰 / 構造変化 / 単位根 |
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| Research Abstract |
This research investigated properties of cointegration tests in misspecified nonlinear models. In addition, this study provided evidence that which cointegration tests were useful when cointegration models were unknown a priori.
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Report
(3 results)
Research Products
(8 results)
