Computer-Intensive Econometric Methods and their Empirical Studies
| Project/Area Number |
18530158
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Kobe University |
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Principal Investigator |
TANIZAKI Hisashi Kobe University, 大学院・経済学研究科, 教授 (60248101)
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| Project Period (FY) |
2006 – 2009
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| Project Status |
Completed (Fiscal Year 2009)
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| Budget Amount *help |
¥4,380,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥780,000)
Fiscal Year 2009: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2008: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2007: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Fiscal Year 2006: ¥1,000,000 (Direct Cost: ¥1,000,000)
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| Keywords | モンテ・カルロ / シミュレーション / 非線形フィルタ / ブートストラップ / ノンパラメトリック推定 / ガンマ乱数 / ボラティリティ / シミュレ-ション / ブ-トストラップ / 株価の変動 / 状態空間モデル / 並べ替え検定 / ブートストラップ法 / バイアス是正 |
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| Research Abstract |
By recent progress of personal computers, computer-intensive estimation methods and testing procedures have been applied to empirical studies. One of the computer-intensive methods is due to random numbers (so-called Monte Carlo method). Another of the computer-intensive methods includes nonparametric estimation and test. We have considered these computer-intensive methods in a field of Econometrics and applied them to empirical studies.
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Report
(6 results)
Research Products
(60 results)
