Enhancing the empirical applicability of structural change analysis in economic research
| Project/Area Number |
25870235
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic statistics
Economic policy
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| Research Institution | Hitotsubashi University |
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Principal Investigator |
YAMAMOTO Yohei 一橋大学, 大学院経済学研究科, 准教授 (80633916)
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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 |
¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2014: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2013: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
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| Keywords | 構造変化 / 内生性 / 経済予測 / 大規模データ / 信頼区間 / フィリップス曲線 / 低周波変動 / インフレ率 / ファクターモデル / 将来予測 / 構造変化点の信頼区間 / ウェーブレット「国際情報交換」 / 主成分分析 / 構造変化分析 / 仮説検定の棄却力 / データの断絶 |
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| Outline of Final Research Achievements |
In this research project, I conducted theoretical and empirical investigations on structural change analysis in economic research. The project consists of the following three topics. First, I investigated how to deal with the endogeneity problem in structural change analysis. In particular, I discussed the pros and cons of applying the instrumental variable approach and proposed a more efficient inference method by using the ordinary least squares. Second, I established a method of estimating and testing structural changes when the data are contaminated by low-frequency variations such as unknown trends and level shifts. Third, I studied ways to account for structural changes in forecasting macroeconomic variables in data-rich environments and proposed a new forecasting method. These results were presented in international and domestic academic conferences and published in international academic journals.
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Report
(4 results)
Research Products
(45 results)
