Inference of nonlinear time series under time-varying volatility
| Project/Area Number |
25380272
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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 | Ryukoku University |
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Principal Investigator |
Maki Daiki 龍谷大学, 経済学部, 准教授 (60423737)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Project Status |
Completed (Fiscal Year 2015)
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| Budget Amount *help |
¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | 非線形時系列 / ボラティリティ / 線形検定 / Wild bootstrap / 不均一分散 / ブートストラップ / 円滑遷移自己回帰 / 誤差修正モデル / ESTAR / TAR / 線形性の検定 / LSTAR |
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| Outline of Final Research Achievements |
This study investigated properties of nonlinear time series when economic variables have time-varying volatility. The results showed that usual linearity tests have spurious nonlinearity in the presence of GARCH or stochastic volatility. Furthermore, the study proposed methods using wild bootstrap to obtain reliable results and indicated its effectiveness.
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Report
(4 results)
Research Products
(4 results)
