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2017 Fiscal Year Final Research Report

Studies on econometric analyses on models with possible structural breaks

Research Project

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Project/Area Number 26780136
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Economic statistics
Research InstitutionKobe University

Principal Investigator

Namba Akio  神戸大学, 経済学研究科, 教授 (60324901)

Co-Investigator(Renkei-kenkyūsha) OHTANI Kazuhiro  神戸大学, 大学院経済学研究科, 教授 (00106626)
Research Collaborator Ullah Aman  University of California-Riverside, Department of Economics, Professor
Xu Haifeng  Xiamen University, Department of Statistics, School of Economics
Wang Yanan  Institute for Studies in Economics, Assistant Professor
Project Period (FY) 2014-04-01 – 2018-03-31
Keywords構造変化 / 縮小推定 / ブートストラップ法
Outline of Final Research Achievements

In this research, econometric methods applicable to the model with possible structural breaks are analyzed. It was shown that the proper use of bootstrap methods improves the accuracy of the statistical tests for the existence of structural breaks. Also, it is indicated that the use of the so-called shrinkage estimators can produce predictions with higher performance even when the model with possible structural breaks are employed.

Free Research Field

経済統計

URL: 

Published: 2019-03-29  

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