Test performance and improvement of new tests for nonstationary panels
| Project/Area Number |
24530237
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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 | Osaka Gakuin University |
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Principal Investigator |
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| Project Period (FY) |
2012-04-01 – 2015-03-31
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| Project Status |
Completed (Fiscal Year 2014)
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| Budget Amount *help |
¥2,340,000 (Direct Cost: ¥1,800,000、Indirect Cost: ¥540,000)
Fiscal Year 2014: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Keywords | 非定常パネルデータ / 単位根 / 共和分 / 多重検定 / 経済構造変化 / 非線型性 / 金融市場 / 非線形性 / アジア債券市場 |
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| Outline of Final Research Achievements |
This study investigates the test performance of new methods of testing for unit roots or cointegration in nonstationary panels. The study extends these tests to deal with data with structural breaks or nonlinearity. It also applies them, in their original or extended forms, to actual data. I use Romano and Wolf’s (2005) multiple testing based on the bootstrap method and observe the following three noteworthy points in the results: (1) The test can avoid the multiplicity problem (over-rejection of the null hypothesis caused by the repeated use of a single test) and increase test power, while other multiple testing methods suffer from a lack of power. (2) The test can be easily extended to consider cases where structural breaks or nonlinearity is observed in the data; it exhibits good test performance even in these cases. (3) The obtained empirical results are meaningful when some tests are applied to actual exchange rates or financial data.
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Report
(4 results)
Research Products
(8 results)
