Construction and application of robust M test under non-regularity conditions

• Project/Area Number: 26380278
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Kansai University
• Principal Investigator: Katayama Naoya 関西大学, 経済学部, 教授 (80452720)
• Project Period (FY): 2014-04-01 – 2019-03-31
• Project Status: Completed (Fiscal Year 2018)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2018: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2017: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2016: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2015: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000); Fiscal Year 2014: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
• Keywords: ロバストネス / 単位根検定 / 合理的バブル / カバン検定 / SVARモデル / 外れ値 / 仮説検定 / ロバスト / 構造変化

Outline of Final Research Achievements

(1) I proposed a robust portmanteau test for a linear time series model in the sense of the assumption of the error term by KVB approach. (2) I examined the recent easy economy policy by bank of Japan by using SVAR models. (3) I found that the rational bubble model yield a (explosive) unit root model with additive outliers (4) Based on (3) I investigated whether unit root tests is robust to additive outliers.

Academic Significance and Societal Importance of the Research Achievements

計量経済学モデルでは、しばしば様々な正則条件の下で、理論構築と、実証分析がなされている。しかしながら、実際の経済では、これらが成立しないケースがしばしばあることが指摘されている。本研究では、それらの一部ではあるが、これら非正則な状況下でも適用可能な手法の提案を行った。

Research Products

• [Int'l Joint Research] 国立成功大学（台湾）(その他の国・地域)
• [Int'l Joint Research] 国立成功大学(台湾)
• [Int'l Joint Research] サンターナ大学院大学(イタリア)
• [Int'l Joint Research] 国立成功大学(台湾)
• [Int'l Joint Research] 国立成功大学(台湾)
• [Presentation] A Model of Rational Bubbles with Additive Outliers. (2018)
  • Author(s): Naoya Katayama
  • Organizer: Kagawa International Symposium
  • Int'l Joint Research
• [Presentation] A Model of Rational Bubbles with Additive Outliers. (2017)
  • Author(s): Naoya Katayama
  • Organizer: CSA-KSS-JSS國際統計學術研討會
  • Int'l Joint Research / Invited
• [Presentation] Testing for Bubbles by an Outlier Robust Unit Root Test (2017)
  • Author(s): 片山直也
  • Organizer: 関西計量経済学研究会
  • Place of Presentation: 広島大学（広島県）
• [Presentation] Comments on A Top-Down Method for Rational Bubbles: Application of the Threshold Bounds Testing Approach (2016)
  • Author(s): Naoya Katayama
  • Organizer: 日本ファイナンス学会第24回大会
  • Place of Presentation: 横浜国立大学（神奈川県）
• [Presentation] Comments on Insight from a Bayesian VAR model with drifting parameters of the French housing and credit markets (2015)
  • Author(s): Naoya Katayama
  • Organizer: XXIV International Rome Conference on Money, Banking and Finance
  • Place of Presentation: LUMSA (Italy)
  • Year and Date: 2015-12-03
  • Int'l Joint Research
• [Presentation] Identification and Goodness of Fit Tests for SVAR Models with Application to the Effects of the Quantitative Easing Policy by the Bank of Japan (2015)
  • Author(s): Naoya Katayama
  • Organizer: XXIV International Rome Conference on Money, Banking and Finance
  • Place of Presentation: LUMSA (Italy)
  • Year and Date: 2015-12-03
  • Int'l Joint Research
• [Presentation] The portmanteau tests and the LM test for ARMA models with uncorrelated errors (2014)
  • Author(s): Naoya Katayama
  • Organizer: 2014 Hitotsubashi-Sogang Conference on Econometrics
  • Place of Presentation: Sogang University, Seoul（韓国）
  • Year and Date: 2014-12-13
• [Presentation] The portmanteau tests and the LM test for ARMA models with uncorrelated errors (2014)
  • Author(s): Naoya Katayama
  • Organizer: Time Series Methods and Applications: the A. Ian McLeod Festschrift Monday, June 2 - Tuesday, June 3, 2014
  • Place of Presentation: University of Western Ontario（カナダ）
  • Year and Date: 2014-06-03 – 2014-06-04
  • Invited
• [Book] The portmanteau tests and the LM test for ARMA models with uncorrelated errors (2016)
  • Author(s): Naoya Katayama
  • Total Pages: 20
  • Publisher: Springer