| Project/Area Number |
60301081
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| Research Category |
Grant-in-Aid for Co-operative Research (A)
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| Allocation Type | Single-year Grants |
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| Research Field |
統計学
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| Research Institution | The University of Tokyo |
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Principal Investigator |
KUNITOMO Naoto Associate Professor, Faculty of Economics, University of Tokyo, 経済学部, 助教授 (10153313)
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| Co-Investigator(Kenkyū-buntansha) |
WAGO Hajime Lecturer, Institute of Socio-Economic Planning, University of Tsukuba, 社会工学系, 講師 (00091934)
HAYASHI Fumio Associate Professor, Faculty of Economics, Osaka University, 経済学部, 助教授 (80159095)
TSUKUDA Yoshihiko Associate Professor, Faculty of Literature and Social Sciences, Yamagata Univers, 人文学部, 助教授 (10091836)
YAMAMOTO Taku Associate Professor, Faculty of Economics, Yokohama National University, 経済学部, 助教授 (50104716)
MORIMUNE Kimio Professor, The Kyoto Institute of Economic Research, Kyoto University, 経済研究所, 教授 (20109078)
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| Project Period (FY) |
1985 – 1986
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| Project Status |
Completed (Fiscal Year 1986)
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| Budget Amount *help |
¥6,000,000 (Direct Cost: ¥6,000,000)
Fiscal Year 1986: ¥2,500,000 (Direct Cost: ¥2,500,000)
Fiscal Year 1985: ¥3,500,000 (Direct Cost: ¥3,500,000)
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| Keywords | Rational Expectation / Time Series Analysis / Economic Analysis / Bayesian Analysis / Unit Roots / Consumption function / Exchange Rate / 日本経済 |
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| Research Abstract |
Econometric analyses with rational expectations (RE) hypotheses have been voluminous for the U.S. economy in the last decade, while it is not the care for the Japanese economy. There are still a number of theoretical problems in econometric analyses with RE hypotheses.
We investigated some theoretical issues with RE hypotheses in time series econometrics. For instance, the order determination problem by Kunitomo - Yamamoto, the unit roots in MA problem by Anderson - Takemura, and others. Several papers written by K. Morimune and Y. Tsukuda forcussed on the estimating and testing problems in econometric models. Turning to the empirical studies of the Japanese economy, T. Yamamoto investigated the empirical relevance of a RE hypothesis in the foreign exchange markets. F. Hayashi has written several papers on the consumption function and investment function with RE hypotheses using Japanese data. He also wrote a critical survey on the recent developments in the consumption function under RE hypotheses.
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