Studies on econometric analyses on models with possible structural breaks
| Project/Area Number |
26780136
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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
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| Research Institution | Kobe University |
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Principal Investigator |
Namba Akio 神戸大学, 経済学研究科, 教授 (60324901)
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| Co-Investigator(Renkei-kenkyūsha) |
OHTANI Kazuhiro 神戸大学, 大学院経済学研究科, 教授 (00106626)
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| 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
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| Project Period (FY) |
2014-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| 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)
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| 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 |
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| 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.
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Report
(5 results)
Research Products
(14 results)
