Statistical tests for regularity conditions in econometrics and its applications

• Project/Area Number: 23530253
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Kyoto Institute of Technology
• Principal Investigator: HITOMI KOHTARO 京都工芸繊維大学, その他部局等, 教授 (00283680)
• Project Period (FY): 2011-04-28 – 2016-03-31
• Project Status: Completed (Fiscal Year 2015)
• Budget Amount: ¥4,810,000 (Direct Cost: ¥3,700,000、Indirect Cost: ¥1,110,000); Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2013: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2011: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
• Keywords: グレンジャーの因果性 / 検定 / rate optimal test / 操作変数法 / 関数型 / minimax検定 / 回帰関数 / 分散 / 操作変数 / 正則条件 / ノンパラメトリック

Outline of Final Research Achievements

Two statistical tests for econometric models are developed in this research.
One test is a Granger causality test and it can detect any nonlinear causality. The test statistic is distributed as a weighted average of chi square random variables under the null hypothesis. And it can detect any parametric rate local alternative.
Another test is a nonparametric test of regression functions in instrumental variable models. The test statistic is distributed as the standard normal distribution, and it is a rate optimal minimax test.

Research Products

• [Journal Article] A consistent nonparametric test for nonlinear causality (2011)
  • Author(s): Nishiyama, Y., et al
  • Journal Title: Journal of Econometrics Volume: 165 Issue: 1 Pages: 112-127
  • DOI: 10.1016/j.jeconom.2011.05.010
  • Peer Reviewed
• [Presentation] Optimal Minimax Rates of Specification Tests for IV Regression (2016)
  • Author(s): Kohtaro Hitomi, Yoshihiko Nishiyama and Masamune Iwasawa
  • Organizer: Workshop on Recent Developments in Econometric Theory and Its Applications
  • Place of Presentation: 京都大学
  • Year and Date: 2016-03-31
• [Presentation] A Simple Uniformly Consistent Specification Test for Regression Function (2013)
  • Author(s): 西山慶彦
  • Organizer: 第14回ノンパラメトリック統計解析とベイズ統計
  • Place of Presentation: 慶応大学三田キャンパス
• [Presentation] A Simple Uniformly Consistent Test for Regression Function (2012)
  • Author(s): 人見光太郎
  • Organizer: Summer Workshop on Economic Theory
  • Place of Presentation: 小樽商科大学