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Macroeconometric Analysis of Nonlinear Trends

Research Project

Project/Area Number 17H02510
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionThe University of Tokyo

Principal Investigator

SHINTANI MOTOTSUGU  東京大学, 大学院経済学研究科(経済学部), 教授 (00252718)

Project Period (FY) 2017-04-01 – 2020-03-31
Project Status Completed (Fiscal Year 2019)
Budget Amount *help
¥17,160,000 (Direct Cost: ¥13,200,000、Indirect Cost: ¥3,960,000)
Fiscal Year 2019: ¥5,330,000 (Direct Cost: ¥4,100,000、Indirect Cost: ¥1,230,000)
Fiscal Year 2018: ¥5,330,000 (Direct Cost: ¥4,100,000、Indirect Cost: ¥1,230,000)
Fiscal Year 2017: ¥6,500,000 (Direct Cost: ¥5,000,000、Indirect Cost: ¥1,500,000)
Keywordsマクロ経済モデル / DSGEモデル / インパルス応答関数 / 景気循環 / 確率トレンド / 非線形トレンド / 潜在変数 / GDPギャップ / 失業率ギャップ / 金利ギャップ / マクロ経済学 / トレンド
Outline of Final Research Achievements

We developed new nonlinear econometric methods for detrending and model selection, which are essential for macroeconomic analysis. We considered several alternative methods for the purpose of avoiding the model misspecification and allowing a flexible nonlinear trend function. First, we developed a testing procedure in the presence of both a nonlinear and stochastic trends. Second, we proposed a new method for selecting an appropriate macroeconomic model and applied to data. We also conducted various policy analyzes by estimating nonlinear macroeconomic models.

Academic Significance and Societal Importance of the Research Achievements

本研究では、マクロ経済の政策分析に必要な潜在変数を正しく把握するために、新しい統計的手法を提案している。既存の手法と比べて優れている部分を理論的に明らかし、実際にデータを用いて様々な変数への応用可能性を示したことで、有用性が高い分析手法として一定の成果を収めた。新しい手法を用いることで、重要な政策目標が誤って判断されることを防止する効果が予想される。

Report

(4 results)
  • 2019 Annual Research Report   Final Research Report ( PDF )
  • 2018 Annual Research Report
  • 2017 Annual Research Report
  • Research Products

    (27 results)

All 2019 2018 2017 Other

All Int'l Joint Research (2 results) Journal Article (7 results) (of which Int'l Joint Research: 5 results,  Peer Reviewed: 7 results,  Open Access: 1 results,  Acknowledgement Compliant: 1 results) Presentation (16 results) (of which Int'l Joint Research: 13 results,  Invited: 4 results) Book (2 results)

  • [Int'l Joint Research] ボストン大学(米国)

    • Related Report
      2017 Annual Research Report
  • [Int'l Joint Research] カナダ銀行(カナダ)

    • Related Report
      2017 Annual Research Report
  • [Journal Article] Current account dynamics under information rigidity and imperfect capital mobility2019

    • Author(s)
      Akihisa Shibata; Mototsugu Shintani; Takayuki Tsuruga
    • Journal Title

      Journal of International Money and Finance

      Volume: 92 Pages: 153-176

    • DOI

      10.1016/j.jimonfin.2018.12.001

    • Related Report
      2019 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Asymptotic Inference for Dynamic Panel Estimators of Infinite Order Autoregressive Processes2018

    • Author(s)
      Yoon-Jin Lee, Ryo Okui and Mototsugu Shintani
    • Journal Title

      Journal of Econometrics

      Volume: 204(2) Issue: 2 Pages: 147-158

    • DOI

      10.1016/j.jeconom.2017.04.005

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Quasi-Bayesian Model Selection2018

    • Author(s)
      Atsushi Inoue and Mototsugu Shintani
    • Journal Title

      Quantitative Economics

      Volume: 9(3) Issue: 3 Pages: 1265-1297

    • DOI

      10.3982/qe587

    • Related Report
      2018 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach2018

    • Author(s)
      Shintani Mototsugu、Guo Zi-Yi
    • Journal Title

      Econometric Reviews

      Volume: 37 Issue: 4 Pages: 360-379

    • DOI

      10.1080/07474938.2015.1092825

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes2018

    • Author(s)
      Lee, Yoon-Jin, Ryo Okui, and Mototsugu Shintani
    • Journal Title

      Journal of Econometrics

      Volume: 印刷中

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Int'l Joint Research
  • [Journal Article] Quasi-Bayesian model selection2018

    • Author(s)
      Inoue, Atsushi, and Mototsugu Shintani
    • Journal Title

      Quantitative Economics

      Volume: 印刷中

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component2017

    • Author(s)
      Perron, Pierre, Mototsugu Shintani and Tomoyoshi Yabu
    • Journal Title

      Oxford Bulletin of Economics and Statistics

      Volume: 印刷中 Issue: 5 Pages: 822-850

    • DOI

      10.1111/obes.12169

    • Related Report
      2017 Annual Research Report
    • Peer Reviewed / Open Access / Int'l Joint Research / Acknowledgement Compliant
  • [Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2019

    • Author(s)
      新谷元嗣
    • Organizer
      Workshop on Recent Progress in Time Series: in honour of Peter Robinson
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2019

    • Author(s)
      新谷元嗣
    • Organizer
      2019 Asian Meeting of the Econometric Society
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research
  • [Presentation] News implied uncertainty and aggregate economic activity: Evidence from the Japanese government bond market2019

    • Author(s)
      新谷元嗣
    • Organizer
      The 3rd International Conference on Econometrics and Statistics (EcoSta 2019)
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Forecasting Japanese Inflation with a News-Based Leading Indicator of Economic Activities2019

    • Author(s)
      新谷元嗣
    • Organizer
      2019年度 Summer Workshop on Economic Theory
    • Related Report
      2019 Annual Research Report
  • [Presentation] Forecasting Japanese inflation with a news-based leading indicator of economic activities2019

    • Author(s)
      新谷元嗣
    • Organizer
      2019 CUR Microeconometrics: Survey Methodology and Data Science
    • Related Report
      2019 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Forecasting Japanese Inflation with a News-Based Leading Indicator of Economic Activities2019

    • Author(s)
      新谷元嗣
    • Organizer
      日本経済学会秋季大会
    • Related Report
      2019 Annual Research Report
  • [Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2019

    • Author(s)
      新谷元嗣
    • Organizer
      第26回関西計量経済学研究会
    • Related Report
      2018 Annual Research Report
  • [Presentation] Forecasting Japanese inflation with a news-based leading indicator of economic activities2019

    • Author(s)
      新谷元嗣
    • Organizer
      27th Symposium of the Society for Nonlinear Dynamics and Econometrics
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] On Trigonometric Trend Regressions of Unknown Frequencies in the Presence of Autoregressive Errors2018

    • Author(s)
      新谷元嗣
    • Organizer
      4th Hitotsubashi Summer Institute (HSI2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Missing Wage Inflation? Estimating the Natural Rate of Unemployment in a Nonlinear DSGE Model2018

    • Author(s)
      新谷元嗣
    • Organizer
      2018 Midwest Macroeconomics Meetings
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Frequency-wise causality analysis in infinite order vector autoregressive processes2018

    • Author(s)
      新谷元嗣
    • Organizer
      12th International Conference on Computational and Financial Econometrics (CFE2018)
    • Related Report
      2018 Annual Research Report
    • Int'l Joint Research
  • [Presentation] On Trigonometric Trend Regressions of Unknown Frequencies in the Presence of Autoregressive Errors2017

    • Author(s)
      新谷元嗣
    • Organizer
      2017 Asian Meeting of the Econometric Society
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Instrumental Variables Estimators for Infinite Order Panel Autoregressive Processes2017

    • Author(s)
      新谷元嗣
    • Organizer
      2017 China Meeting of the Econometric Society
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve2017

    • Author(s)
      新谷元嗣
    • Organizer
      The 4th annual conference of the International Association for Applied Econometrics
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Evaluating the Role of Part-time Workers in an Estimated New Keynesian Model with Search Frictions2017

    • Author(s)
      新谷元嗣
    • Organizer
      HIAS, IER and AJRC Joint Workshop
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Evaluating the Role of Part-time Workers in an Estimated New Keynesian Model with Search Frictions2017

    • Author(s)
      新谷元嗣
    • Organizer
      11th International Conference on Computational and Financial Econometrics (CFE 2017)
    • Related Report
      2017 Annual Research Report
    • Int'l Joint Research
  • [Book] 計量経済学 (New Liberal Arts Selection)2019

    • Author(s)
      新谷元嗣(共著者:西山 慶彦, 川口 大司, 奥井 亮)
    • Total Pages
      744
    • Publisher
      有斐閣
    • ISBN
      9784641053854
    • Related Report
      2019 Annual Research Report
  • [Book] 実証のための計量時系列分析2019

    • Author(s)
      新谷元嗣(原著者:ウォルター・エンダース, 共訳者:藪 友良)
    • Total Pages
      522
    • Publisher
      有斐閣
    • ISBN
      9784641165489
    • Related Report
      2019 Annual Research Report

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Published: 2017-04-28   Modified: 2022-05-23  

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