Statistical Analysis of Economic Indicators

Research Project

Project/Area Number	05630031
Research Category	Grant-in-Aid for General Scientific Research (C)
Allocation Type	Single-year Grants
Research Field	経済政策(含経済事情)
Research Institution	KYUSHU UNIVERSITY
Principal Investigator	SAEKI Chikayoshi Kyushu University, Economics Professor, 経済学部, 教授 (70136589)
Project Period (FY)	1993 – 1994
Project Status	Completed (Fiscal Year 1994)
Budget Amount *help	¥1,900,000 (Direct Cost: ¥1,900,000) Fiscal Year 1994: ¥600,000 (Direct Cost: ¥600,000) Fiscal Year 1993: ¥1,300,000 (Direct Cost: ¥1,300,000)
Keywords	Economic Indicators / Turning Points / Econometric Model / Time Serios Model / MTV model / MSM model / Multivaliate Tinie Series Factor model / 時系列モデル / 時系列主成分モデル / 時系列因子モデル / 景気観測 / ディフュージョン・インデックス / 時系列分析 / VARモデル / カルマンフィルター / 確率シミュレーション
Research Abstract	This research focused on the recent development of economic indicators of business cycles. Especially, the statistical and empirical aspect of the recent development of the economic indicators are analyzed. For this purpose, the predictive accuracy of the several new economic indicators are compared from the time series and econometric models points of view. The indicators which have been analyzed are : (1) Multivariate time series Variance Component Model (MTV model), (2) VAR (Baysian VAR) model, (3) Experimental coincident model by Stock & Watoson, (4) Econometric Model. In the Japanese business cycle after 1970, we emphasize MTV model is valid. Especially, It will be useful tool for the turning point prediction to link MTV model and Markov Switching Model(MSM). (This experimental results are reported in the conference of Buisiness cycle 1994). Another important experimental coincident indicator by Stock & Watsonis is also valid from the theoretical and turning point prediction. Though this method is very time consuming in the comparison with 2 state MTV=MSM model, this fault will be solved by the rapid development of micro processor. We also developed medium size Japanese econometric model. The characteristics of this model is the extension of monetary sector (which has the sector of portfolio selection by households) and the link between physical and monetary sector. (the simulation and the short term focuses by this model are reported by the seminar of Business cycle, 1994). I haven't completed the estimation of event probabilities of business cycles by this model, but this study study will be continued. Mos of the results by this will be published in the near future (title : The statistical methods of economic indicators.