Nonparametric Tests for Dynamic Optimization Hypoheses
Project/Area Number  07803001 
Research Category 
GrantinAid for Scientific Research (C)

Section  一般 
Research Field 
経済理論

Research Institution  The University of Tokyo 
Principal Investigator 
KAMIYA Kazuya The University of Tokyo, Facylty of Economics, Associate professor, 大学院・経済学研究科, 助教授 (50201439)

Project Fiscal Year 
1995 – 1997

Project Status 
Completed(Fiscal Year 1997)

Budget Amount *help 
¥1,900,000 (Direct Cost : ¥1,900,000)
Fiscal Year 1997 : ¥300,000 (Direct Cost : ¥300,000)
Fiscal Year 1996 : ¥400,000 (Direct Cost : ¥400,000)
Fiscal Year 1995 : ¥1,200,000 (Direct Cost : ¥1,200,000)

Keywords  Nonparametric Test / Dynamic Optimization / Expected Utility / Nonexpected Utility / ノンパラメトリック検定 / 動学的最適化 / 期待効用 / 非期待効用 / ノンパラメトリック / 効用関数 / 顕示選好理論 / 期待効用仮説 / 非期待効用仮説 / ノンパラメトリックテスト 
Research Abstract 
I investigated nonparametric restrictions of dynamic optimization behavior under risk for the case of finite horizon and discrete time period with one good per period. In order to find the restrictions of optimization behaviors on observed data. I followed the revealed preference tradition : I asked what conditions the data must satisfy in order for the data to be compatible with the maximization of some utility functions. The results I obtained are as follows : 1. I presented necessary and sufficient conditions for the data to be compatible with the maximization of some utility functions. In the literature, such conditions have not been investigated in discrete time models. 2. I investigated timeadditive expected utility functions with a constant discountfactor and nonexpected utility functions. These classes have not been sutdied in the literature even in continuous time models. 3. I presented algorithms for testing the necessary and sufficient conditions. The algorithms can be applied to wide classes of intertemporal choice experiments with risk. Such an algorithm has not been known so far even in atemporal models. I also present the results of an intertemporal choice experiment.

Report
(5results)
Research Output
(10results)