Stochastic Regression Models and Their Applications

随机回归模型及其应用

• 批准号: 22530210
• 负责人: HODOSHIMA Jiro
• 金额: $ 1.91万
• 依托单位: Nagoya City University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2010
• 资助国家: 日本
• 起止时间: 2010 至 2012
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-22530210/
• 关键词: 計量経済学; 経済統計学; bootstrap; 条件付分散; 漸近分散の推定; 統計的推測

I have found some properties of the maximum likelihood estimator and its likelihood function in the conditional t distribution model, where heteroskedasticity occurs as a conditional variance. In particular, I have discovered the degrees of freedom is estimable, contrary to the previous claim in the literature, and its estimation is most successful when estimated using the joint likelihood function. I have also obtained a property related to measures of nonnormality for the asymptotic variances of the least squares estimator of linear asset pricing models when the data generating process is dependent. In addition, I have estimated the effect of the Fukushima nuclear disaster on stock returns of electricity power and gas utilities in Japan.

我在条件 t 分布模型中发现了最大似然估计量及其似然函数的一些属性，其中异方差作为条件方差出现。特别是，我发现自由度是可估计的，与文献中先前的说法相反，并且当使用联合似然函数估计时，其估计是最成功的。当数据生成过程相关时，我还获得了与线性资产定价模型的最小二乘估计量的渐近方差的非正态性度量相关的属性。此外，我还估计了福岛核灾难对日本电力和天然气公用事业股票回报的影响。

项目成果

Reexamination of the Robustness of the Fama-French Three-Factor Model

Fama-French三因素模型稳健性的再检验

• DOI: 10.17654/ts052030215
• 发表时间: 2016
• 期刊: Far East Journal of Theoretical Statistics
• 作者: Masayuki Hirukawa & Artem Prokhorov;大山 睦;Masayuki Hirukawa and Jiro Hodoshima
• 通讯作者: Masayuki Hirukawa and Jiro Hodoshima

On the properties of the likelihood function of Spanos'conditional t heteroskedastic model

论Spanos条件t异方差模型似然函数的性质

• 期刊: Communications in Statistics-Theory and Methods
• 影响因子: 0.8
• 作者: 野村淳一;木下 真;朝日幸代;程島次郎;Jiro Hodoshima;Masayuki Hirukawa and Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima
• 通讯作者: Jiro Hodoshima

Finite-sample properties of the conditional maximum likelihood estimator and block-diagonality of the information matrix in Spanos' conditional t heteroskedastic model

Spanos 条件 t 异方差模型中条件最大似然估计量的有限样本属性和信息矩阵的块对角性

• 发表时间: 2012
• 期刊: Nagoya City University Discussion Papers in Economics
• 作者: 野村淳一;木下 真;朝日幸代;程島次郎;Jiro Hodoshima;Masayuki Hirukawa and Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima
• 通讯作者: Jiro Hodoshima

経済時系列ハンドブック(「CAPM とマルチファクターモデルとポートフォリオ」)

经济时间序列手册（“CAPM、多因素模型和投资组合”）

• 发表时间: 2012
• 作者: 野村淳一;木下 真;朝日幸代;程島次郎;Jiro Hodoshima;Masayuki Hirukawa and Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;Jiro Hodoshima;程島次郎;Jiro Hodoshima;Jiro Hodoshima;程島次郎
• 通讯作者: 程島次郎

The effect of estimation of unknown degrees of freedom on estimation of remaining parameters in Spanos'conditional t heteroskedastic model

Spanos条件t异方差模型中未知自由度估计对剩余参数估计的影响

• DOI: 10.1080/03610918.2012.675112
• 发表时间: 2013
• 期刊: Communications in Statistics-Simulation and Computation
• 影响因子: 0.9
• 作者: 野村淳一;木下 真;朝日幸代;程島次郎;Jiro Hodoshima
• 通讯作者: Jiro Hodoshima