| Project/Area Number |
17K03653
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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 | The University of Tokyo |
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Principal Investigator |
Shimotsu Katsumi 東京大学, 大学院経済学研究科(経済学部), 教授 (50547510)
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| Project Period (FY) |
2017-04-01 – 2021-03-31
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| Project Status |
Completed (Fiscal Year 2020)
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| Budget Amount *help |
¥4,420,000 (Direct Cost: ¥3,400,000、Indirect Cost: ¥1,020,000)
Fiscal Year 2019: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2018: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Fiscal Year 2017: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
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| Keywords | レジーム・スイッチングモデル / 尤度比検定 / 最尤推定量 / 漸近分布 / 計量経済学 / 経済統計学 |
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| Outline of Final Research Achievements |
Markov regime switching models have been used in numerous empirical applications in economics and finance because it can capture many important features in time series such as structural changes, nonlinearity, and asymmetric dependence.
Despite its importance, the asymptotic properties of the MLE and related procedures have not been well understood. In particular, the asymptotic distribution of the likelihood ratio test (LRT) statistic for testing the number of regimes is still unknown. The number of regimes is an important parameter in applications of Markov regime switching models. Furthermore, in many applications, the number of regimes itself is of economic interest. Therefore, it is important to establish a statistical testing procedure for the number of regimes.
This research derives the asymptotic distribution of the LRT statistic for testing the number of regimes and conducts simulation studies to confirm that the LRT statistic has good finite sample properties.
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| Academic Significance and Societal Importance of the Research Achievements |
レジーム・スイッチングモデルは、構造変化・非線形性などの時系列の特徴をよく記述することができるため、経済学・ファイナンスの分野において非常に幅広く利用されている。レジーム・スイッチングモデルの実証研究における応用において、レジームの数は重要なパラメーターであり、レジームの数自体が経済学的に重要な意味を持つことも多い。しかしながら、経済学理論は、レジームの数を選択するためのガイダンスをほとんど提供しないため、実証研究者が利用可能な統計的手段は少なかった。そのため、レジームの数の統計的検定手順を確立した本研究の成果は学術的・社会的に重要な意味を持つ。
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