Hypothesis testing of the dimension of state variables in the state space model

• Project/Area Number: 21530195
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Yokohama National University
• Principal Investigator: KOBAYASHI Masahito 横浜国立大学, 国際社会科学研究科, 教授 (60170354)
• Project Period (FY): 2009 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥4,290,000 (Direct Cost: ¥3,300,000、Indirect Cost: ¥990,000); Fiscal Year 2011: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000); Fiscal Year 2010: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000); Fiscal Year 2009: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
• Keywords: 計量経済学 / モンテカルロ実験 / 株価指数 / volatility / 線形状態空間モデル / シミュレーション / Stochastic volatility model / 状態空間モデル / ラグランジュ乗数検定 / stochastic volatility model / カルマンフィルター / 定常過程

Research Abstract

The Lagrange multiplier test is proposed for the null hypothesis that the bivariate time series has the only common stochastic volatility and no idiosyncratic volatility factor. The test statistic is derived by representing the model in the linear state-space form under the assumption that the log of squared measurement error is normally distributed.

Research Products

• [Remarks]
  • URL: http://mcobaya.web.fc2.com/