2012 Fiscal Year Final Research Report
Stochastic Regression Models and Their Applications
| Project/Area Number |
22530210
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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 | Nagoya City University |
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Principal Investigator |
HODOSHIMA Jiro 名古屋市立大学, 大学院・経済学研究科, 教授 (30181514)
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| Project Period (FY) |
2010 – 2012
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| Keywords | 計量経済学 |
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| Research Abstract |
I have found some properties of the maximum likelihood estimator and its likelihood function in the conditional t distribution model, where heteroskedasticity occurs as a conditional variance. In particular, I have discovered the degrees of freedom is estimable, contrary to the previous claim in the literature, and its estimation is most successful when estimated using the joint likelihood function. I have also obtained a property related to measures of nonnormality for the asymptotic variances of the least squares estimator of linear asset pricing models when the data generating process is dependent. In addition, I have estimated the effect of the Fukushima nuclear disaster on stock returns of electricity power and gas utilities in Japan.
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