Stochastic Regression Models and Their Applications
| Project/Area Number |
22530210
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Nagoya City University |
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Principal Investigator |
HODOSHIMA Jiro 名古屋市立大学, 大学院・経済学研究科, 教授 (30181514)
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| Project Period (FY) |
2010 – 2012
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| Project Status |
Completed (Fiscal Year 2012)
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| Budget Amount *help |
¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
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| Keywords | 計量経済学 / 経済統計学 / bootstrap / 条件付分散 / 漸近分散の推定 / 統計的推測 |
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| Research Abstract |
I have found some properties of the maximum likelihood estimator and its likelihood function in the conditional t distribution model, where heteroskedasticity occurs as a conditional variance. In particular, I have discovered the degrees of freedom is estimable, contrary to the previous claim in the literature, and its estimation is most successful when estimated using the joint likelihood function. I have also obtained a property related to measures of nonnormality for the asymptotic variances of the least squares estimator of linear asset pricing models when the data generating process is dependent. In addition, I have estimated the effect of the Fukushima nuclear disaster on stock returns of electricity power and gas utilities in Japan.
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Report
(4 results)
Research Products
(18 results)
