カナザワ,ユウイチロウ
KANAZAWA, Yuichiro
金澤 雄一郎 所属 国際基督教大学教養学部 アーツ・サイエンス学科 職種 特任教授 |
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研究期間 | 2013/04~2016/03 |
研究課題 | Bayesian Estimation of the Markov-Switching Almost Ideal Demand Systems, new Bayesian model selection criteria, and their applications |
実施形態 | 科学研究費補助金 |
研究委託元等の名称 | Japan Society for the Promotion of Science |
研究種目名 | Grant-in-Aid for Challenging Research (Exploratory) |
科研費研究課題番号 | 25590051 |
キーワード | Bayesian estimation, Markov switching, Almost Ideal Demand System model, Hamilton filter, multi-move sampler |
科研費分類 | 経済統計
応用数学、統計数学 理論経済学 |
代表分担区分 | 研究代表者 |
代表者 | Yuichiro KANAZAWA |
概要 | We published a paper applying the 2007 paper by Allais and Nichele, which estimates almost ideal demand system (MS-AIDS) model with Markov switching by maximum likelihood method to the Japanese meat market in Applied Economics Letters, 19. Faced with many limitations of this method through this application, we developed a method to estimate the MS-AIDS model using Bayes theory, and showed its theoretical accuracy by simulation and application possibility using real data in Empirical Economics in 2014. This approach overcomes the limitations of traditional methods in many ways. |