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.
要旨:本講義では、ネットワーク上の行動のモデリングについて、主に交通分野の経路選択行動分析における経路相関,経路選択肢集合の特定、エージェント間の相互作用(交通混雑)という3つのモデリング上の課題に着目しながら、方法論的発展を概説します。また、それらを同時に解決するマルコフ型ネットワーク均衡モデルや、モデル推定に関する数値計算問題への対処、そして局所的な反応を同時に扱うモデルなど、発表者の近年の取り組みについても紹介し、ネットワーク行動モデルの可能性について議論します。
《参考文献》
Oyama, Hara and Akamatsu, Transportation Research Part B: Methodological, 2022
Oyama, Transportation Research Part C: Emerging Technologies, 2023
Oyama, Transportation Research Part A: Policy and Practice, 2024
17:00〜18:30
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08:55〜17:10
08:55〜17:10
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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.