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Studies on econometric analyses on models with possible structural breaks

Research Project

Project/Area Number 26780136
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Economic statistics
Research InstitutionKobe University

Principal Investigator

Namba Akio  神戸大学, 経済学研究科, 教授 (60324901)

Co-Investigator(Renkei-kenkyūsha) OHTANI Kazuhiro  神戸大学, 大学院経済学研究科, 教授 (00106626)
Research Collaborator Ullah Aman  University of California-Riverside, Department of Economics, Professor
Xu Haifeng  Xiamen University, Department of Statistics, School of Economics
Wang Yanan  Institute for Studies in Economics, Assistant Professor
Project Period (FY) 2014-04-01 – 2018-03-31
Project Status Completed (Fiscal Year 2017)
Budget Amount *help
¥3,380,000 (Direct Cost: ¥2,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2017: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2016: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2015: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Keywords構造変化 / 縮小推定 / ブートストラップ法 / 縮小推定量 / チョウ検定 / ブートストラップ
Outline of Final Research Achievements

In this research, econometric methods applicable to the model with possible structural breaks are analyzed. It was shown that the proper use of bootstrap methods improves the accuracy of the statistical tests for the existence of structural breaks. Also, it is indicated that the use of the so-called shrinkage estimators can produce predictions with higher performance even when the model with possible structural breaks are employed.

Report

(5 results)
  • 2017 Annual Research Report   Final Research Report ( PDF )
  • 2016 Research-status Report
  • 2015 Research-status Report
  • 2014 Research-status Report
  • Research Products

    (14 results)

All 2018 2017 2016 2015 2014 Other

All Int'l Joint Research (4 results) Journal Article (7 results) (of which Int'l Joint Research: 2 results,  Peer Reviewed: 4 results,  Acknowledgement Compliant: 4 results) Presentation (3 results) (of which Int'l Joint Research: 2 results,  Invited: 1 results)

  • [Int'l Joint Research] Xiamen University(中国)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] University of California-Riverside(米国)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] University of California-Riverside(米国)

    • Related Report
      2016 Research-status Report
  • [Int'l Joint Research] Xiamen University(中国)

    • Related Report
      2016 Research-status Report
  • [Journal Article] A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model2018

    • Author(s)
      Namba Akio、Xu Haifeng
    • Journal Title

      Journal of Statistical Computation and Simulation

      Volume: - Issue: 11 Pages: 2034-2047

    • DOI

      10.1080/00949655.2018.1448982

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] 構造変化がある線形回帰モデルにおけるスタイン型推定量の応用に関する一考察2018

    • Author(s)
      難波明生
    • Journal Title

      国民経済雑誌

      Volume: 217 Pages: 59-71

    • NAID

      120006576470

    • Related Report
      2017 Annual Research Report
  • [Journal Article] MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated2018

    • Author(s)
      Xu Haifeng、Namba Akio
    • Journal Title

      Communications in Statistics-Theory and Methods

      Volume: -

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] MSE Performance of the Weighted Average Estimators Consisting of Shrinkage Estimators2017

    • Author(s)
      Akio Namba and Kazuhiro Ohtani
    • Journal Title

      Communications in Statistics - Theory and Methods

      Volume: 印刷中

    • NAID

      120006477538

    • Related Report
      2016 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] ワイルド・ブートストラップ法を用いた平均に関する検定のシミュレーション分析2016

    • Author(s)
      難波明生
    • Journal Title

      国民経済雑誌

      Volume: 213 Pages: 63-75

    • NAID

      110010006730

    • Related Report
      2015 Research-status Report
    • Acknowledgement Compliant
  • [Journal Article] Bootstrap Test for a Structural Break under Possible Heteroscedasticity2015

    • Author(s)
      Akio Namba
    • Journal Title

      Communications in Statistics - Simulation and Computation

      Volume: - Pages: 1-13

    • DOI

      10.1080/03610918.2015.1107581

    • NAID

      120006318787

    • Related Report
      2015 Research-status Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] Double Bootstrap Test for a Structural Break when the Disturbance Variance Changes with the Break2014

    • Author(s)
      Akio Namba
    • Journal Title

      Kobe University Economic Review

      Volume: 60 Pages: 33-43

    • NAID

      110009882308

    • Related Report
      2014 Research-status Report
    • Acknowledgement Compliant
  • [Presentation] A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model2017

    • Author(s)
      Namba Akio
    • Organizer
      Ecosta 2017
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] A Sufficient Condition For The MSE Dominance Of The Positive-Part Shrinkage Estimator When Each Individual Regression Coefficient Is Estimated In a Misspecified Linear Regression Model2016

    • Author(s)
      Akio Namba
    • Organizer
      Econometric Seminar
    • Place of Presentation
      リバーサイド(アメリカ合衆国)
    • Related Report
      2016 Research-status Report
  • [Presentation] Simulations on the Wild Bootstrap Tests for a Structural Break when the Break Point is Unknown and the Variance Changes with the Break2015

    • Author(s)
      Akio Namba
    • Organizer
      The 1st Annual International Conference on Applied Econometrics in Hawaii
    • Place of Presentation
      アラモアナホテル(アメリカ合衆国・ハワイ)
    • Year and Date
      2015-11-04
    • Related Report
      2015 Research-status Report
    • Int'l Joint Research

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Published: 2014-04-04   Modified: 2022-06-07  

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