2017 Fiscal Year Final Research Report
Measurement of Model Uncertainty Aversion and International Comparison in Heterogeneity
| Project/Area Number |
15K03391
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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 | University of Tsukuba |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Keywords | モデル不確実性 |
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| Outline of Final Research Achievements |
This study proposed a new method for measuring model uncertainty and investigated the existence of heterogeneity in model uncertainty by applying it to international data including developed and developing countries. The method is applicable to a class of models widely used in the literature, including the random walk, trend-stationary, long-run risk, and idiosyncratic risk models. The empirical results show that there is considerable variation in the extent of model uncertainty among developed and developing countries.
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| Free Research Field |
マクロ経済学、計量経済学
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