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Theory and Applications of Statical Inference for Economic Time Series

Research Project

Project/Area Number 03630015
Research Category

Grant-in-Aid for General Scientific Research (C)

Allocation TypeSingle-year Grants
Research Field Economic statistics
Research InstitutionHIROSHIMA UNIVERSITY

Principal Investigator

MAEKAWA Koichi  Hiroshima Univ.Economics, Professor, 経済学部, 教授 (20033748)

Co-Investigator(Kenkyū-buntansha) FUJIKOSHI Yasunori  Hiroshima Univ.Science(Math.), Professor, 理学部, 教授 (40033849)
ODAKI Mitsuhiro  Hiroshima Univ.Economics, Assoc.Prof., 経済学部, 助教授 (00194564)
TAKABAYASHI Kikuo  Hiroshima Univ.Economics, Assoc.Prof., 経済学部, 助教授 (10226912)
KITAOKA Takayoshi  Hiroshima Univ.Economics, Professor, 経済学部, 教授 (60116572)
Project Period (FY) 1991 – 1993
Project Status Completed (Fiscal Year 1993)
Budget Amount *help
¥2,000,000 (Direct Cost: ¥2,000,000)
Fiscal Year 1993: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1992: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 1991: ¥900,000 (Direct Cost: ¥900,000)
KeywordsUnit root test / Co-integration / Non-stationary Time series / Asymptotic expansion / Non-linear regression / Fiscal Policy / Monetary policy / Macro model / co-integration / 成長曲線 / IS-LMモデル / マクロ経済モデル / 非線型回帰 / co-integration(共和分) / unit root(単位根) / error correction / マクロ計量モデル / 政府支出 / 自己回帰モデル / Coーintegration(共和分) / unitroot(単位根) / 政府支出乗数
Research Abstract

We investigated the following topics and obtained significant results which were or will be published in journals. Among others we focused on non-standard cases associated with non-stationarity, non-linearity and non-normality.
1. Non-stationary time series.
(1) Unit root and co-integration test.
Several new tests for testing a unit root and co-integration were proposed and studied their performance.
(2) Non-invertible time series.
Condition are examined in non-standard time series including fractionally differenced ARIMA process
(3) Dynamic regression with an integrated regressor.
Statistical properties of the OLS are studied and a two step estimator is proposed.
2. Economic time series analysis of Japanese monetary and fiscal policy.
(1) Analysis of demand and supply function of money by error correction model.
(2) Time series analysis of Japanese deposit interest rate.
(3) Quantitative evaluation of fiscal policy by multiplier.
(4) Time series analysis of inter-governmental fiscal policy
3. Non-linear regression and asymptotic expansion
(1) The Durbin-Watson statistics in a non-linear regression.
(2) SUR estimators and asymptotic expansions of their sampling distribution.
(3) Error bounds of asymptotic expansions.

Report

(4 results)
  • 1993 Annual Research Report   Final Research Report Summary
  • 1992 Annual Research Report
  • 1991 Annual Research Report
  • Research Products

    (73 results)

All Other

All Publications (73 results)

  • [Publications] Koichi Maekawa(with J.C.Abril): "Approximate Null Distribution of the Durbin-Watson Test Statistic for Non-linear Regression Model" Hiroshima Economic Review(広島大学経済論叢. 15. 149-168 (1991)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa(with H.Hisamatsu): "The Distribution of the Durbin-Watson Statistic in Integrated and Near-Integrated Models" Journal of Econometrics. 61. 367-382 (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa(with H.Hisamatsu & J.L.Knight): "The Exact Distribution of the OLS and GLS Estimators in Regression with an Integrated Regressor and Correlated Errors" Mathematics and Computers in Simulation. 36(予定). (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa(with V.K.Srivastava): "Efficiency Properties of Feasible Generalized Least Squares Estimators in SURE Models under Non-normal Disturbances" Journal of Econometrics. (予定). (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa(with M.Hatanaka): "Estimation in Dynamic Regression with an Integrated Process" Journal of Statistical Planning and Inference. (予定). (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa: "Prewhitened Unit Root Test" Economics Letters. (予定). (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 北岡 孝義: "公定歩合と日銀信用" 『多部門経済モデルの実証分析』創文社. 263-298 (1992)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 北岡 孝義: "Error Correction Modelと貨幣需要関数の安定性" 広島大学経済論叢. 13. 1-16 (1992)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 北岡 孝義(小村衆統と共著): "簡保資金運用の公共性と収益性の数量評価-簡保資金運用のモデル分析" 『調査研究報告』No.5簡易保険文化財団. 1-47 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 北岡 孝義: "預金金利の自由化と金融政策における操作変数の選択問題" 広島大学経済論叢. 17. 129-161 (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Takayoshi Kitaoka(with Joseph Migel Pint Dos Santos): "Bounded Rationality of Expectations Formation and Efficient Markets Model" Discussion Paper of Hiroshima University. 1-22 (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 高林 喜久生: "マクロ計量モデルと政府支出乗数-財政政策の数量効果の評価をめぐって-" 広島大学経済論叢. 15. 165-183 (1991)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 高林 喜久生: "地方交付税の財政調整効果-キング尺度による分析-" 広島大学経済論叢. 15. 277-294 (1991)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 高林 喜久生: "政府間財政の変動分析" 広島大学経済論叢. 16. 69-88 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 高林 喜久生: "景気変動と地方財政調整" 広島大学経済論叢(近刊). 18. (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 小瀧 光博: "非定常性に関する統計的諸問題と自己回帰モデルにおける係数の最小2乗推定" 広島大学経済論叢. 15. 185-212 (1991)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 小瀧 光博: "反転可能な移動平均過程における推定の問題について" 広島大学経済論叢. 16. 75-102 (1991)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Mitsuhiro Odaki: "On Some Transformations for Achieving Stationarity and Invertibility in Cointegrated Systems" The Hiroshima Economic Review. 16. 89-103 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Mitsuhiro Odaki: "On the Invertibility of Fractionally Differenced ARIMA Processes" Biometrika. 80. 703-709 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 小瀧 光博: "Co-Integrationと非確率的トレンドを持つ多変量時系列体系におけるerror correction表現と最尤推定" 広島大学経済論叢. 17. 209-227 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi(with Yoko Watamori): "Tests for the Mean Direction of the Langevin Distribution with Large Concentration Parameter" Journal of Multivariate Analysis. 42. 210-225 (1992)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: "On Confidence Regions in Canonical Disctiminant Analysis" Hiroshima Mathematical Journal. 22. 469-477 (1992)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 藤越康祝: "多変量解析における変量の冗長性" 行動計量学. 19. 18-28 (1992)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi(with Satoru Mukaihara): "Error Bounds for Asymptotic Expantions of Some Distributions in a SVR Model" Statistical Sciences and Data Analysis. 365-374 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: "Error Bounds for Asymptotic Expantions of Some Distributions in a Multivariate Two Stage Procedure" Hiroshima Mathematical Journal. 23. 565-575 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: "Error Bounds for Asymptotic Approximations of Some Distribution Functions" Multivariate Analysis:Future Directions. 181-208 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi(with Satoru Mukaihata): "Approximations for the Quantiles of Student's t and F Distributions and Their Error Bounds" Hiroshima Mathematical Journal. 23. 557-564 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] 藤越康祝(柳井晴夫と共著): "多変量解析の現状と展望" 日本統計学会誌. 22. 313-356 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: "Asymptotic Expansions for the Standardized and Studentized Estimates in the Growth Curve Model" Journal of Statistical Planning and Inference. 36. 165-173 (1993)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa: ""Approximate Null Distributions of the Durbin-Watson Test Statistic for Non-Linear Regression Model", (with J.C.Abril)" Hiroshima Economic Review. Vol.15, No.2. 149-168 (1991)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa: ""The Distribution of the Durbin-Watson Statistic in Integrated and Near-Integrated Modes", (with H.Hisamatsu)" Journal of Econometrics. Vol.61, North-Holland. 367-382 (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa: ""The Exact Distribution of the OLS and GLS Estimations in Regression with an Integrated Regressor and Correlated Errors - Comparison of Numerical and Monte Carlo Integration-", (with H.Hisamatsu and J.L.Knight)" Mathematics and Computers in Simulation. Vol.36, (forthcoming). (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa: ""Efficiency Properties of Feasible Generalized Least Squares Estimators in SURE Models under Non-normal Disturbances", (with V.K.Srivastava)" Journal of Econometrics, North-Holland. (forthcoming). (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa: ""Estimation in Dynamic Regression with an Integrated Process", (with T.Yamamoto, Y.Takeuchi and M.Hatanaka)" Journal of Statistical Planning and Inference, North-Holland. (forthcoming). (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa: ""Prewhitened Unit Root Test"" Economic Letters. (forthcoming). (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Takayoashi Kitaoka: ""Evalation on Monetary Policy Instruments : Official Discount Rate and Central Bank Credit"" Tabumon Keizai Moderu no Jissho Bunseki (in Japanese), Soubunsha. (1992)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Takayoashi Kitaoka: ""Error Correction Model and Identification of Money Demand"" Hiroshima Economic Studies. Vol.13. 1-16 (1992)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Takayoashi Kitaoka: ""Optimal Management of the Kanpo Fund and its Quantative Evaluation" (with S.Komura)" Chosa-Kenkyu Houkoku(in Japanese). No.5, Kan-i Hoken Bunka Zaidan. 46 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Takayoashi Kitaoka: ""Deregulation on Deposit Interest Rate and Instrument Problem of Monetary Policy"" Hiroshima Economic Review. Vol.17. 129-161 (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Takayoashi Kitaoka: ""Bounded Rationality of Expectations Formation and Efficient Markets Modes", (with Joseph Migel Pint DosSantos)" Discussion Paper of Hiroshima University, Faculty of Economics. 22 (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Kikuo Takabayashi: ""On the Fiscal Multipliers from Macroeconometroc Models"" Hiroshima Economic Review. Vol.15, No.15. 165-183 (1991)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Kikuo Takabayashi: ""Measurement of the Redistribution Effect of the Local Allocation Tax"" Hiroshima Economic Review. Vol.15, No.2. 277-294 (1991)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Kikuo Takabayashi: ""Analysis of Inter-Governmental Fiscal Relations on Japan"" Hiroshima Economic Review. Vol.16, No.4. 69-88 (1991)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Mitsuhuro Odaki: ""Some Statical Problems on Nonstationarity and Ordinary Least Squares Estimation of the Coefficients in Autoregressive Models"" Hiroshima Economic Review. Vol.15, No.1. 185-212 (1991)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Mitsuhuro Odaki: ""On the Problem of Estimation in Non-invertible Moving Average Processes"" Hiroshima Economic Review. Vol.16, No.3. 75-102 (1991)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Mitsuhuro Odaki: ""On Some Transformations for Achieving Stationarity and Invertibility in Cointegrateted Systems"" Hiroshima Economic Review. Vol.16, No.4. 89-103 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Mitsuhuro Odaki: ""On the Invertibility of Fractionally Differenced ARIMA Processes"" Biometrika. Vol.80, No.3. 703-709 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Mitsuhuro Odaki: ""Error Correction Representations and Maximum Likelihood Estimation in Multiple Time Series Systems with Cointegration and Non-Stochastic Trends"" Hiroshima Economic Review. Vol.17, No.1. 209-227 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: ""Tests for the Mean Direction of the Langevin Distribution with Large Concentration Parameter", (with Yoko Watamori)" Journal of Multivariate Analysis. Vol.42, No.2, Academic Press. 210-225 (1992)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: ""On Confidence Regions in Canonical Discriminant Analysis"" Hiroshima Mathematical Journal. Vol.22, No.3. 469-477 (1992)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: ""Redundancy of Some Variables in Multivariate Analysis"" Journal of Behaviormetrics. Vol.19, No.1. 18-28 (1992)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: ""Error Bounds for Asymptotic Approximations of Some Distribution Functions"" Multivariate Analysis : Future Directions, North-Holland. 181-208 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: ""Error Bounds for Asymptotic Expantions of Some Distributions in a SUR Model", (with Satoru Mukaihata)" Statistical Sciences and Data Analysis, VSP. 365-374 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: ""Asymptotic Expantions for the Standardized and Studentized Estimates in the Growth Curve Model"" Journal of Statistical Planning and Inference. Vol.36, North-Holland. 165-173 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: ""Error Bounds for Asymptotic Expantions of Some Distributions in a Multivariate Two-Stage Procedure"" Hiroshima Mathematical Journal. Vol.23, No.3. 565-575 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: ""Approximations for the Quantiles of Student's and F Distributions and Their Error Bounds", (with Satoru Mukaihata)" Hiroshima Mathematical Journal. Vol.23, No.3. 557-564 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Yasunori Fujikoshi: ""Recent Development and Perspectives in Multivariate Analysis"" Journal of the Japan Statistical Society. Vol.22, No.3. 313-356 (1993)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1993 Final Research Report Summary
  • [Publications] Koichi Maekawa: "Pre-whited unit root test" Economic Letters. 44又は45(発表予定)予定(未定). (1994)

    • Related Report
      1993 Annual Research Report
  • [Publications] Koichi Maekawa: "The distribution of the Durbin-Watson statistic in integrated and near-integrated models (H.Hisamatsuと共著)" Journal of Econometrics. 61(発表予定)(未定). (1994)

    • Related Report
      1993 Annual Research Report
  • [Publications] 北岡孝義: "預金金利の自由化と金融政策における操作変数の選択問題" 広島大学経済論叢. 17. 129-161 (1994)

    • Related Report
      1993 Annual Research Report
  • [Publications] 高林喜久生: "政府間財政の変動分析" 広島大学経済論叢. 16. 69-88 (1993)

    • Related Report
      1993 Annual Research Report
  • [Publications] 小滝光博: "反転可能性,単位根,co-integrationのための検定方式" 広島大学経済論叢. 17. 177-202 (1994)

    • Related Report
      1993 Annual Research Report
  • [Publications] Yasunori Fujikoshi: "A symptotic expansions for the standardized and Studentized estimates in the growth curve model" Journal of Statistical Planning and Interence. 36. 165-174 (1993)

    • Related Report
      1993 Annual Research Report
  • [Publications] Koichi Maekawa Hiroyuki Hisamatsu: "The Distribution of the Durbin-Watson Statistic in Integrated and Near-Integrated Models" Journal of Econometrics. 55. (1993)

    • Related Report
      1992 Annual Research Report
  • [Publications] 高林 喜久生: "政府間財政の変動分析" 広島大学 経済論叢. 16(4). 69-88 (1993)

    • Related Report
      1992 Annual Research Report
  • [Publications] Mitsuhiro Odaki: "On Some Transformations for Achieving Stationarity and Invertibility in Cointegrated Systems" 広島大学 経済論叢. 16(4). 89-104 (1993)

    • Related Report
      1992 Annual Research Report
  • [Publications] 藤越 康祝: "多変量解析の最近の動向" 数理科学. 31(4). 60-66 (1993)

    • Related Report
      1992 Annual Research Report
  • [Publications] Koichi,Maekawa;J.C.Abril: "Approximate null distribution of the DurbinーWatson test statistic for nonーlinear regrssion model" 広島大学経済論叢. 15No.2. 149-168 (1991)

    • Related Report
      1991 Annual Research Report
  • [Publications] 北岡 孝義: "Error Correction Modelと貨幣需要関数の識別問題" 広島大学年報経済学. 13. 1-12 (1992)

    • Related Report
      1991 Annual Research Report
  • [Publications] 高林 喜久生: "マクロ計量モデルと政府支出乗数ー財政政策の数量効果の評価をめぐってー" 広島大学経済論叢. 15No.1. 165-183 (1991)

    • Related Report
      1991 Annual Research Report
  • [Publications] 小滝 光博: "非定常性に関する統計的諸題問と自己回帰モデルにおける係数の最小2乗推定" 広島大学経済論叢. 15No.1. 185-212 (1991)

    • Related Report
      1991 Annual Research Report
  • [Publications] Yosunori,Fujikashi;C.R.Rao: "Selection of Covariables in the growth curve model" Biometrika. 78. 779-85 (1991)

    • Related Report
      1991 Annual Research Report
  • [Publications] Taku Yamamoto;Yoshiyuki Takeuchi;Koichi Maekawa;Michio Hatanaka: "Estimation in dynamic regression with an integra,td process" 広島大学経済論叢. 16No.2. (1992)

    • Related Report
      1991 Annual Research Report

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Published: 1991-04-01   Modified: 2016-04-21  

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