13:00〜17:30
13:30〜17:00
・Olga Kupets (Kyiv School of Economics)
・Taro Ohno (Ministry of Finance)
・Naoki Tani (Kyoto University)
For speaker:
The presentation time is 40 minutes which include 25 minutes presentation and 15 minutes discussion.
Please send your presentation materials to tani.naoki.4z@kyoto-u.ac.jp by no later than 17:00, March 15, 2024. The materials will be shared with participants on March 16.
17:00〜18:30
13:40〜17:20
08:55〜17:10
08:55〜17:10
17:00〜18:30
16:45〜18:15
要旨：In this study, we test for a bubble in a model with a random
explosive autoregressive coefficient. We consider two local
alternatives and find that versions of recursive stochastic unit root
tests are more powerful when facing a randomly explosive process than
the recursive right-tailed ADF tests, whereas the latter performs
better in a model with a nonstochastic coefficient. We then propose
the union of rejections strategy using the recursive right-tailed ADF
and stochastic unit root tests. We examine the finite sample
properties of the proposed tests using Monte Carlo simulations and
observe that the test based on the union of rejections strategy is the
second-best, and its power is close to the best one in most cases.
17:00〜18:00
Essays on Optimal Collusion-Proof Contracts
15:00〜16:30