| Budget Amount *help |
¥2,000,000 (Direct Cost: ¥2,000,000)
Fiscal Year 1994: ¥300,000 (Direct Cost: ¥300,000)
Fiscal Year 1993: ¥1,700,000 (Direct Cost: ¥1,700,000)
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| Research Abstract |
The present research has extended over two years. I first describe the results obtained each year and then give perspectives for further research.
1.1993
I analyzed a time series regression model, where the regressors are highly nonstationary and follow integrated processes. In particular statistics arising from processes of integration order greater than 1 are studied, and their limiting distributions are found and computed. In terms of numerical computation it is hard to deal with such higher order integrated processes, but I have devised a method for overcoming such difficulties. On the other hand I have found that the case of integration order of 1 is quite exceptional in terms of distribution theory, which corresponds, so to speak, to a singular point.
2.1994
A new testing procedure for testing if there exists cointegration among highly nonstationary variables. While conventional tests take no cointegration as the null, the suggested test takes cointegration as the null. I have derived, not only the limiting null, but also the limiting distributions under a sequence of local alternatives. The corresponding percent points are also computed.
3. On the basis of the above and other results I could write a manuscript during the term of project, which is to be published shortly. For further research I would like to suggest a method which enables us to deal with more complicated statistics than those analyzed in the present project. It is certaily difficult to do so as in the standard case, but I will try to find a clue to this extended problem.
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