Development of econometric testing method of causality in dynamic macroeconomic models.

动态宏观经济模型中因果关系的计量经济学检验方法的发展。

• 批准号: 60530008
• 负责人: HOSOYA Yuzo
• 金额: $ 0.51万
• 依托单位: TOHOKU UNIVERSITY
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for General Scientific Research (C)
• 财政年份: 1985
• 资助国家: 日本
• 起止时间: 1985 至 1986
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-60530008/
• 关键词: causality; simultaneous test; nominal GNP; money balance; econometrics; <X^2> test; F test

In this research, I developped simultaneous <X^2> , Beta and F tests which apply to causality test when alternative hypotheses have a nesting structure. The basic idea is based on any generalized likelihood ratio test. In the Sims test for testing noncausality, the order of autoregressive scheme is given, but it is not a realistic assumption. For detecting causality between nominal income and money balance data in Japanese macroeconomy, a nested <X^2> test is applied and it gave a sharper pattern of one-way causality than the previous studies in this field. Also the nested test was applied for the purpose of identification of the St. Louis F.R.B. model. Also in the present research, an algorithm for a nested <X^2> test P-value which applies to the case where the degree of nesting is at most 13.

在这项研究中，我开发了同时&lt；X^2&gt；，Beta和F检验，适用于当不同的假设具有嵌套结构时的因果检验。其基本思想是基于任何广义似然比检验。在检验非因果关系的SIMS检验中，给出了自回归方案的阶数，但这不是一个现实的假设。为了检验日本宏观经济中名义收入和货币余额数据之间的因果关系，本文采用了嵌套检验，该检验比以往的研究给出了更清晰的单向因果关系模式。此外，还应用套式试验对圣路易斯F.R.B.模型进行了鉴定。在本研究中，还给出了一种适用于嵌套度不超过13的情况的嵌套&lt；X^2&gt；检验P值的算法。

项目成果

細谷雄三,照井伸彦: Pro ceedings of the 2nd Pacific Area Statistical Conference. (1988)

Yuzo Hosoya，Nobuhiko Terui：第二届太平洋地区统计会议记录（1988 年）。

Yuzo Hosoya and Nobuhiko Terui: "Nested statistical models and a generalized likelihood-ratio test." Proceedings of the 2nd Pacific Area Statistical Conference ed. Matsushita, North Holland Publishing Conpancy.(1988)

Yuzo Hosoya 和 Nobuhiko Terui：“嵌套统计模型和广义似然比检验。”

細谷雄三,片山静子: 研究年報経済学. 49. (1987)

Yuzo Hosoya，Shizuko Katayama：经济学研究年度报告。（1987）

Yuzo Hosoya and Shizuko Katayama: "A P-value algorithm for a nested <X^2> test." Annual Report of the Economic Society, Tohoku University. 49. (1987)

Yuzo Hosoya 和 Shizuko Katayama：“嵌套 <X^2> 测试的 P 值算法。”