JP

Events

Econometrics

Category
Date
Title
Presenter/Location
Details
2017/07/05 Wed
16:00〜18:00
Bootstrap Inference under Random Distributional Limits
Giuseppe Cavaliere (University of Bologna)
第一共同研究室 (4F北側)
2017/03/08 Wed
14:40〜17:30
Workshop on Recent Developments in Econometric Theory and Its Applications 2017
第一共同研究室 (4F北側)

AY2016
program

2017/02/22 Wed
16:30〜18:00
A Bernstein-von Mises Theorem for Moment Restriction Models and Bayesian Empirical Likelihood
末石 直也(神戸大学)
第一共同研究室 (4F北側)
2017/02/08 Wed
16:30〜18:00
On Trigonometric Trend Regressions of Unknown Frequencies in the Presence of Autoregressive Error
新谷 元嗣(東京大学)
第一共同研究室 (4F北側)

[Abstract]

This paper proposes a new test for selecting trigonometric terms when the deterministic trend of a univariate time series is periodic.
The problem of unknown frequencies in such a cyclical trend was first investigated by Anderson (1971) under the assumption of serially uncorrelated error term, but we allow for an autoregressive error term without prior knowledge as to whether the error term is stationary or contains an autoregressive unit root. This is achieved by modifying the test statistic proposed by Perron, Shintani and Yabu (2016) which requires the assumption of a known set of frequencies. We show that limiting distribution of our test statistic can be common between the stationary and unit root cases even if frequencies are unknown. Simulation results confirm that our procedure works well with sample size typically available in practice. We illustrate the usefulness of our method via an application to international data on unemployment rate.

2016/12/15 Thu
16:30〜18:00
Nonparametric Bayes models for mixed-scale longitudinal surveys
國濱 剛(名古屋大学)
第一共同研究室 (4F北側)
2016/12/07 Wed
16:30〜18:00
Testing for Overconfidence Statistically: A Moment Inequality Approach
金燕春 (京都大学経済学研究科)
第一共同研究室 (4F北側)
2016/11/16 Wed
16:30〜18:00
Macroeconomic Forecasting and Variable Selection with a Very Large Number of Predictors: A Penalized Regression Approach
田中 晋矢(小樽商科大学)
第一共同研究室 (4F北側)
2016/08/31 Wed
16:30〜18:00
A Partial Identification Subnetwork Approach to Discrete Games in Large Networks: An Application to Quantifying Peer Effects
Tong Li(Vanderbilt University)
第一共同研究室 (4F北側)
2016/07/20 Wed
16:30〜18:00
信念にバイアスがある場合の総合評価落札方式オークションの構造推定と検定
大畠 一輝(京都大学経済学研究科)
第一共同研究室 (4F北側)
2016/07/06 Wed
16:30〜18:00
Post-Observation Sample Selection and Integrable Empirical Processes
梶 哲也(MIT)
第一共同研究室 (4F北側)
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