Development of econometric testing method of causality in dynamic macroeconomic models.
| Project/Area Number |
60530008
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| Research Category |
Grant-in-Aid for General Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Research Field |
統計学
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| Research Institution | TOHOKU UNIVERSITY |
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Principal Investigator |
HOSOYA Yuzo Faculty of Economics, Tohoku University, 経済学部, 助教授 (40004197)
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| Project Period (FY) |
1985 – 1986
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| Project Status |
Completed (Fiscal Year 1986)
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| 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)
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| Keywords | causality / simultaneous test / nominal GNP / money balance / econometrics / <X^2> test / F test |
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| 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.
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Report
(1 results)
Research Products
(4 results)
