2015 Fiscal Year Final Research Report
Inference of nonlinear time series under time-varying volatility
| Project/Area Number |
25380272
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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 | Ryukoku University |
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Principal Investigator |
Maki Daiki 龍谷大学, 経済学部, 准教授 (60423737)
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Keywords | 非線形時系列 / ボラティリティ / 線形検定 / Wild bootstrap |
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| Outline of Final Research Achievements |
This study investigated properties of nonlinear time series when economic variables have time-varying volatility. The results showed that usual linearity tests have spurious nonlinearity in the presence of GARCH or stochastic volatility. Furthermore, the study proposed methods using wild bootstrap to obtain reliable results and indicated its effectiveness.
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| Free Research Field |
計量経済学
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