Construction and application of robust M test under non-regularity conditions
| Project/Area Number |
26380278
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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 | Kansai University |
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Principal Investigator |
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| Project Period (FY) |
2014-04-01 – 2019-03-31
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| Project Status |
Completed (Fiscal Year 2018)
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| Budget Amount *help |
¥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)
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| 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 |
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| 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.
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| 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。
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Report
(6 results)
Research Products
(14 results)
