Verification of the rational bubbles by time series analysis
| Project/Area Number |
21730175
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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 | Kansai University (2010-2012)
Kyushu University (2009) |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000)
Fiscal Year 2012: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2011: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2009: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
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| Keywords | M検定 / 分散不均一 / ラグランジマルチプライヤー検定 / かばん検定 / OIR検定 / Hausmanの検定 / M 検定 / Weak VAR model / Portmanteau test / Residual autocorrelation / Goodness-of-fit test / Diagnostic checking / 時系列解析 / 合理的バブル / ADF検定 / 構造変化 / 予測 |
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| Research Abstract |
To apply to modern financial data, the minister of the research tried to develop the method for M tests which includes the portmanteau tests and is robust not only to heteroscedasticity and serial correlations of unknown form but also to the presence of an estimation effect. The test is a robust M test using the method of Kiefer, Vogelsang, and Bunzel (2000, Econometrica) (referred to as KVB). As applications, we consider robust LM tests, portmanteau tests, GMM over-identification tests and the Hausman tests.
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Report
(5 results)
Research Products
(23 results)
