日時:
(Date&Time) |
6月25日(金)午後4時から (Friday, June 25, 4:00pm〜) |
報告者:
(Speaker) |
大垣 昌夫 (OGAKI Masao) |
所属:
(Affiliation) |
オハイオ州立大学 (Ohio State University) |
論題:
(Topic) |
A Spurious Regression Approach to Estimating Structural Parameters
 |
概要:
(Abstract) |
Economic models often imply that certain variables are cointegrated. However, tests often fail
to reject the null hypothesis of no cointegration for these variables. One possible explanation of
these test results is that the error is unit root nonstationary due to a nonstationary measurement
error in one variable. For example, currency held by the domestic economic agents for legitimate
transactions is very hard to measure due to currency held by foreign residents and black market
transactions. Therefore, money may be measured with a nonstationary error. If the money demand
function is stable in the long-run, we have a cointegrating regression when money is measured
with a stationary measurement error, but have a spurious regression when money is measured
with a nonstationary measurement error. We can still recover structural parameters under certain
conditions for the nonstationary measurement error. This paper proposes econometric methods
based on asymptotic theory to estimate structural parameters with spurious regressions involving
unit root nonstaionary variables. |
会場:
(Place) |
神戸大学経済経営研究所 調査室 (兼松記念館1階)
Seminar Room at RIEB (Kanematsu Memorial Hall
1st Floor) |
対象:
(Intended Audience) |
教員、院生および同等をお持ちの方
Faculty, Graduate Students and People with Equivalent Knowledge |
使用言語
(Language) |
日本語
Japanese |
備考:
(Note) |
論文のコピーは研究助成室にご用意しております。
Copies of the paper are available at Research Assistant Room.
|