Essays on Estimation and Testing of Intertemporal Optimizing Macroeconomic Models
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著者
書誌事項
- タイトル
-
Essays on Estimation and Testing of Intertemporal Optimizing Macroeconomic Models
- 著者名
-
大久保, 正勝
- 著者別名
-
オオクボ, マサカツ
- 学位授与大学
-
一橋大学
- 取得学位
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博士 (経済学)
- 学位授与番号
-
甲第127号
- 学位授与年月日
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2001-03-28
注記・抄録
博士論文
目次
- CONTENTS / p3 (0004.jp2)
- PREFACE / p6 (0007.jp2)
- LIST OF FIGURES / p8 (0009.jp2)
- LIST OF TABLES / p9 (0010.jp2)
- I.INTRODUCTION:A REVIEW OF RESEARCH ON INTERTEMPORAL OPTIMIZING MACROECONOMIC MODELS / p1 (0011.jp2)
- 1.Introduction / p2 (0012.jp2)
- 2.Econometric Issues of GMM Estimation / p3 (0013.jp2)
- 3.Theoretical Issues of GMM Estimation / p6 (0016.jp2)
- 4.Cointegration Approach / p9 (0019.jp2)
- 5.Relationships of Each Chapter to Previous Approaches and Summary / p11 (0021.jp2)
- II.TESTS OF THE PERMANENT INCOME HYPOTHESIS USING INFORMATION IN DETERMINISTIC TRENDS / p16 (0026.jp2)
- 1.Introduction / p17 (0027.jp2)
- 2.The Permanent Income Hypothesis,Cointegration and a Structural Break / p20 (0030.jp2)
- 3.Econometric Procedures / p25 (0035.jp2)
- 4.Empirical Results / p30 (0040.jp2)
- 5.Implications and Discussions / p36 (0046.jp2)
- 6.Conclusions / p38 (0048.jp2)
- III.THE INTERTEMPORAL ELASTICITY OF SUBSTITUTION AND ENGEL'S LAW:A COINTEGRATION APPROACH / p53 (0063.jp2)
- 1.Introduction / p54 (0064.jp2)
- 2.Model / p56 (0066.jp2)
- 3.Estimation and Testing Procedures / p59 (0069.jp2)
- 4.Characteristics of the Data / p65 (0075.jp2)
- 5.Empirical Results / p69 (0079.jp2)
- 6.Consumption and Asset Returns:Comparisons with the GMM / p74 (0084.jp2)
- 7.Conclusions / p78 (0088.jp2)
- Appendix / p80 (0090.jp2)
- IV.ECONOMETRIC EVALUATION OF THE LACK OF RISK SHARING AND IMPERFECT FINANCIAL INTEGRATION / p93 (0103.jp2)
- 1.Introduction / p94 (0104.jp2)
- 2.Testing Foundation based on the Specification Error / p96 (0106.jp2)
- 3.Estimation and Testing Procedures / p103 (0113.jp2)
- 4.Empirical Results / p108 (0118.jp2)
- 5.Properties of the Measures / p113 (0123.jp2)
- 6.Concluding Remarks / p114 (0124.jp2)
- Appendix A:Proof of Proposition / p116 (0126.jp2)
- Appendix B:Variance Parameter Estimation / p118 (0128.jp2)
- Appendix C:Data Description / p120 (0130.jp2)
- REFERENCES / p130 (0140.jp2)