時系列モデル・パネルデータモデルにおける構造変化に関する研究
キーワード：構造変化, 長期分散
2012.04.
| 山崎 大輔（やまざき だいすけ） | データ更新日：2023.11.22 |
主な研究テーマ
研究業績
主要原著論文
| 1. | Daisuke Yamazaki, Improved confidence sets for the date of a structural break, Econometric Reviews, https://doi.org/10.1080/07474938.2020.1780730, 40, 257-289, 2021.04, [URL], Prior studies have proposed constructing confidence sets for the break date by inverting a sequence of tests for the date of a structural break. In this study, we improve these confidence sets by taking the direction of the break into account. Even when the break direction is unknown, we can consistently estimate it, enabling us to use the proposed method. Simulation results show that the proposed method effectively reduces the length of the confidence sets, while maintaining a good coverage rate. An empirical example illustrates the usefulness of the proposed method.. |
| 2. | Daisuke Yamazaki, Eiji Kurozumi, Improving the finite sample performance of tests for a shift in mean, Journal of Statistical Planning and Inference, http://doi.org/10.1016/j.jspi.2015.05.002, 167, 144-173, 2015.12, [URL], It is widely known that structural break tests based on the long-run variance estimator, which is estimated under the alternative, suffer from serious size distortion when the errors are serially correlated. In this paper, we propose bias-corrected tests for a shift in mean by correcting the bias of the long-run variance estimator up to O(1/T). Simulation results show that the proposed tests have good size and high power.. |
学会活動
研究資金
科学研究費補助金の採択状況(文部科学省、日本学術振興会)
2021年度～2024年度, 若手研究, 代表, クロスセクション間の相関や異質性を考慮した構造変化分析手法の構築.
2016年度～2016年度, 特別研究員奨励費, 代表, 構造変化や複雑な相関構造に対して頑健な統計理論の構築.
2012年度～2014年度, 特別研究員奨励費, 代表, 非定常パネルデータ分析に関する理論の研究.
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