Statistical tests for regularity conditions in econometrics and its applications
| Project/Area Number |
23530253
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Kyoto Institute of Technology |
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Principal Investigator |
HITOMI KOHTARO 京都工芸繊維大学, その他部局等, 教授 (00283680)
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| Project Period (FY) |
2011-04-28 – 2016-03-31
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| Project Status |
Completed (Fiscal Year 2015)
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| Budget Amount *help |
¥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)
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| 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 |
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| 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.
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Report
(6 results)
Research Products
(4 results)
