2011 Fiscal Year Final Research Report
Hypothesis testing of the dimension of state variables in the state space model
| Project/Area Number |
21530195
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Yokohama National University |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2011
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| Keywords | 計量経済学 |
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| Research Abstract |
The Lagrange multiplier test is proposed for the null hypothesis that the bivariate time series has the only common stochastic volatility and no idiosyncratic volatility factor. The test statistic is derived by representing the model in the linear state-space form under the assumption that the log of squared measurement error is normally distributed.
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