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2005 Fiscal Year Final Research Report Summary

On Computer-Intensive Estimation and Testing Procedures in Econometrics

Research Project

Project/Area Number 14530033
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionKobe University

Principal Investigator

TANIZAKI Hisashi  Kobe University, Graduate School of Economics, Professor, 経済学研究科, 教授 (60248101)

Project Period (FY) 2002 – 2005
KeywordsEmpirical Likelihood / Permutation Test / Bias Correction / Monte Carlo
Research Abstract

There are various kinds of nonparametric tests. We consider testing population mean, using the empirical likelihood ratio test. The empirical likelihood ratio test is useful in a large sample, but it has size distortion in a small sample. For size correction, various corrections have been considered. Here, we utilize the Bartlett correction and the bootstrap method. The purpose of this paper is to compare the $t$ test and the empirical likelihood ratio tests with respect to the sample power as well as the empirical size through Monte Carlo experiments.
Moreover, we consider a nonparametric permutation test on the correlation coefficient. Because the permutation test is very computer-intensive, there are few studies on small-sample properties, although we have numerous studies on asymptotic properties with regard to various aspects. We aim to compare the permutation test with the $t$ test through Monte Carlo experiments, where an independence test between two samples is taken. We obtain the results through Monte Carlo experiments that the nonparametric test performs better than the $t$ test when the underlying sample is not Gaussian and that the nonparametric test is as good as the $t$ test even under the Gaussian population.
In the case where the lagged dependent variables are included in the regression model, it is known that the ordinary least squares estimates (OLSE) are biased in small sample and that the bias increases as the number of the irrelevant variables increases. Based on the bootstrap methods, an attempt is made to obtain the unbiased estimates in autoregressive and non-Gaussian cases. We propose the residual-based bootstrap method. Some simulation studies are performed to examine whether the proposed estimation procedure works well or not. We obtain the results that it is possible to recover the true parameter values and that the proposed procedure gives us the less biased estimators than OLSE.

  • Research Products

    (17 results)

All 2006 2005 2004 2003 Other

All Journal Article (16 results) Book (1 results)

  • [Journal Article] On Least-Squares Bias in the AR(p) Models : Bias Correction Using the Bootstrap Methods2006

    • Author(s)
      H.Tanizaki, S.Hamori, Y.Matsubayashi
    • Journal Title

      Statistical Papers Vol.47,No.1

      Pages: 109-124

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] On Least-Squares Bias in the AR(p) Models : Bias Correction Using the Bootstrap Methods2006

    • Author(s)
      H.Tanizaki, S.Hamori, Y.Matsubayashi
    • Journal Title

      Statistical Papers Vol.47, No.1

      Pages: 109-124

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Power Comparison of Empirical Likelihood Ratio Tests : Small Sample Properties through Monte Carlo Studies2005

    • Author(s)
      H.Tanizaki
    • Journal Title

      Kobe University Economic Review 50

      Pages: 13-25

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] 密度関数のカーネル推定量におけるバンド幅の選択について : モンテカルロ実験による小標本特性2005

    • Author(s)
      谷崎 久志
    • Journal Title

      国民経済雑誌 第191巻,第1号

      Pages: 59-70

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] On Asymmetry, Holiday and Day-of-the-Week Effects in Volatility of Daily Stock Returns : The Case of Japan2004

    • Author(s)
      H.Tanizaki
    • Journal Title

      Journal of the Japan Statistical Society Vol.34,No.2

      Pages: 129-152

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Exact Distributions of R^2 and Adjusted R^2 in a Linear Regression Model with Multivariate tError Terms2004

    • Author(s)
      K.Ohtani, H.Tanizaki
    • Journal Title

      Journal of the Japan Statistical Society Vol.34,No.1

      Pages: 101-109

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] 「研究成果報告書概要(欧文)」より2004

    • Author(s)
      H.Tanizaki
    • Journal Title

      Computational Methods in Statistics and Econometrics (STATISTICS : texthooks and monographs), Mercel Dekker Vol.172

  • [Journal Article] On Small Sample Properties of Permutation Tests : Independence Test between Two Samples2004

    • Author(s)
      H.Tanizaki
    • Journal Title

      International Journal of Pure and Applied Mathematics Vol.13, No.2

      Pages: 235-243

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Exact Distributions of R2 and Adjusted R2 in a Linear Regression Model with Multivariate t Error Terms2004

    • Author(s)
      K.Ohtani, H.Tanizaki
    • Journal Title

      Journal of the Japan Statistical Society Vol.34, No.1

      Pages: 101-109

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] On Asymmetry, Holiday and Day-of-the-Week Effects in Volatility of Daily Stock Returns : The Case of Japan2004

    • Author(s)
      H.Tanizaki
    • Journal Title

      Journal of the Japan Statistical Society Vol.34, No.2

      Pages: 129-152

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Power Comparison of Empirical Likelihood Ratio Tests : Small Sample Properties through Monte Carlo Studies2004

    • Author(s)
      H.Tanizaki
    • Journal Title

      Kobe University Economic Review Vol.50

      Pages: 13-25

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Note on the Sampling Density for the Metropolis-Hastings Algorithm2003

    • Author(s)
      J.Geweke, H.Tanizaki
    • Journal Title

      Communications in Statistics, Theory and Methods Vol.34,No.4

      Pages: 775-789

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Nonlinear and Non-Gaussian State-Space Modeling with Monte Carlo Techniques : A Survey and Comparative Study2003

    • Author(s)
      H.Tanizaki
    • Journal Title

      Handbook of Statistics, Stochastic Processes : Modeling and Simulation, Chap. 22, (C.P.Rao and D N Shanbhag, Eds.), North-Holland Vol.21

      Pages: 871-929

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Note on the Sampling Density for the Metropolis-Hastings Algorithm2003

    • Author(s)
      J.Geweke, H.Tanizaki
    • Journal Title

      Communications in Statistics, Theory and Methods Vol.32, No.4

      Pages: 775-789

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] On Regression Models with Autocorrelated Error : Small Sample Properties2003

    • Author(s)
      H.Tanizaki
    • Journal Title

      International Journal of Pure and Applied Mathematics Vol.5, No.2

      Pages: 161-175

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] An Empirical Analysis on the Business Cycle Transmission between Japan and the United States

    • Author(s)
      S.Hamori, H.Tanizaki, Y Matsubayashi
    • Journal Title

      The Eurasian Review of Economics and Finance (forthcoming)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Book] Computational Methods in Statistics and Econometrics (STATISTICS : textbooks and monographs, Vol.172)2004

    • Author(s)
      H.Tanizaki
    • Total Pages
      494
    • Publisher
      Mercel Dekker
    • Description
      「研究成果報告書概要(和文)」より

URL: 

Published: 2007-12-13  

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