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Development of econometric testing method of causality in dynamic macroeconomic models.

Research Project

Project/Area Number 60530008
Research Category

Grant-in-Aid for General Scientific Research (C)

Allocation TypeSingle-year Grants
Research Field 統計学
Research InstitutionTOHOKU UNIVERSITY

Principal Investigator

HOSOYA Yuzo  Faculty of Economics, Tohoku University, 経済学部, 助教授 (40004197)

Project Period (FY) 1985 – 1986
Project Status Completed (Fiscal Year 1986)
Budget Amount *help
¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 1986: ¥300,000 (Direct Cost: ¥300,000)
Fiscal Year 1985: ¥500,000 (Direct Cost: ¥500,000)
Keywordscausality / simultaneous test / nominal GNP / money balance / econometrics / <X^2> test / F test
Research Abstract

In this research, I developped simultaneous <X^2> , Beta and F tests which apply to causality test when alternative hypotheses have a nesting structure. The basic idea is based on any generalized likelihood ratio test. In the Sims test for testing noncausality, the order of autoregressive scheme is given, but it is not a realistic assumption. For detecting causality between nominal income and money balance data in Japanese macroeconomy, a nested <X^2> test is applied and it gave a sharper pattern of one-way causality than the previous studies in this field. Also the nested test was applied for the purpose of identification of the St. Louis F.R.B. model. Also in the present research, an algorithm for a nested <X^2> test P-value which applies to the case where the degree of nesting is at most 13.

Report

(1 results)
  • 1986 Final Research Report Summary
  • Research Products

    (4 results)

All Other

All Publications (4 results)

  • [Publications] 細谷雄三,片山静子: 研究年報経済学. 49. (1987)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1986 Final Research Report Summary
  • [Publications] 細谷雄三,照井伸彦: Pro ceedings of the 2nd Pacific Area Statistical Conference. (1988)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1986 Final Research Report Summary
  • [Publications] Yuzo Hosoya and Shizuko Katayama: "A P-value algorithm for a nested <X^2> test." Annual Report of the Economic Society, Tohoku University. 49. (1987)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1986 Final Research Report Summary
  • [Publications] Yuzo Hosoya and Nobuhiko Terui: "Nested statistical models and a generalized likelihood-ratio test." Proceedings of the 2nd Pacific Area Statistical Conference ed. Matsushita, North Holland Publishing Conpancy.(1988)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1986 Final Research Report Summary

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Published: 1987-03-31   Modified: 2016-04-21  

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