Enhancing the empirical applicability of structural change analysis in economic research

2015 Fiscal Year Final Research Report

• Project/Area Number: 25870235
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Economic statistics; Economic policy
• Research Institution: Hitotsubashi University
• Principal Investigator: YAMAMOTO Yohei 一橋大学, 大学院経済学研究科, 准教授 (80633916)
• Project Period (FY): 2013-04-01 – 2016-03-31
• Keywords: 構造変化 / 内生性 / 経済予測 / 大規模データ / 信頼区間 / フィリップス曲線 / 低周波変動

Outline of Final Research Achievements

In this research project, I conducted theoretical and empirical investigations on structural change analysis in economic research. The project consists of the following three topics. First, I investigated how to deal with the endogeneity problem in structural change analysis. In particular, I discussed the pros and cons of applying the instrumental variable approach and proposed a more efficient inference method by using the ordinary least squares. Second, I established a method of estimating and testing structural changes when the data are contaminated by low-frequency variations such as unknown trends and level shifts. Third, I studied ways to account for structural changes in forecasting macroeconomic variables in data-rich environments and proposed a new forecasting method. These results were presented in international and domestic academic conferences and published in international academic journals.

Free Research Field

計量経済学