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Theory and application of integration and co-integration analysis for economic time series

Research Project

Project/Area Number 06451103
Research Category

Grant-in-Aid for Scientific Research (B)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionHIROSHIMA UNIVERSITY

Principal Investigator

MAEKAWA Koichi  Hiroshima University, Faculty of Economics, Professor, 経済学部, 教授 (20033748)

Co-Investigator(Kenkyū-buntansha) ODAKI Mitsuhiro  Hiroshima University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (00194564)
YANO Junnji  Hiroshima University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (40210306)
TSUBAKI Yasukazu  Hiroshima University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (70144805)
GINAMA Isamu  Hiroshima University, Faculty of Economics, Professor, 経済学部, 教授 (30127758)
KITAOKA Takayoshi  Hiroshima University, Faculty of Economics, Professor, 経済学部, 教授 (60116572)
高林 喜久生 (高林 喜久夫)  広島大学, 経済学部, 助教授 (10226912)
Project Period (FY) 1994 – 1996
Project Status Completed (Fiscal Year 1996)
Budget Amount *help
¥4,500,000 (Direct Cost: ¥4,500,000)
Fiscal Year 1996: ¥600,000 (Direct Cost: ¥600,000)
Fiscal Year 1995: ¥800,000 (Direct Cost: ¥800,000)
Fiscal Year 1994: ¥3,100,000 (Direct Cost: ¥3,100,000)
Keywordsunit root / cointegration / periodically integration / bootstrap / financial time series / ARCH model / Economic database / macroeconomic time series / 金属時系列 / データベース / 単位根検定 / 共和分のヨハンセン検定 / 在庫投資モデル / リサンプリング / 景気循環 / 和分・共和分分析 / 自己回帰モデル / ヨハンセンテスト / 共和分の検定 / 株価変動 / 経済時系列
Research Abstract

Over the period of 1994-96 we investigated problems of economic time series associated with integrated and co-integrated time series. Outcomes of our research is classified into the following categories :
(1) Theoretical research
・New methods of unit root test (1,2 by K.Maekawa and H,Hisamatsu)
・Asymptotic inference on a regression model with I(1) regressor (3,4 by K.Maekawa)
・Asymptotic inference on SUR model with non-normal errors (6 by K.Maekawa)
・Re-examination of Johansen's test of co-integration (15 by M.Odaki)
・Bootstrap method for time series analysis(16,17 by J.Fukuchi)
(2) Applied research
・Applications of co-integration test to financial time series (7,8 by T.Kitaoka)
・Applications of ARCH and co-integration models to inventory investment (9,10 by I.Ginama)
・Empirical macroeconomics based on time series data (13,14 by J.Yano)
(3) Research on database
・Data base of economic time series (11,12 by Y.Tsubaki)

Report

(4 results)
  • 1996 Annual Research Report   Final Research Report Summary
  • 1995 Annual Research Report
  • 1994 Annual Research Report
  • Research Products

    (76 results)

All Other

All Publications (76 results)

  • [Publications] 前川功一,久松博之: "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
      1996 Final Research Report Summary
  • [Publications] 前川功一: "Prewhitened unit root test" Economics Letters. 45. 145-153 (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 前川功一,J,Knight,久松博之: "The exact distribution of the OLS and GLS estimators in regression with an integrated regressors and correlated errors" Mathematics and Computers in Simulation. 39. 273-277 (1995)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 前川功一,山本拓,竹内恵行,畠中道雄: "Estimation in dynamic regression with an integrated process" Journal of Statistical Planning and Inference. 49. 279-303 (1996)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 前川功一,V.K.Srivastava: "Efficiency properties of feasible generalized least sguares estimators in SUR models under non-normal disturbances" Journal of Econometrics. 66. 99-121 (1995)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 前川功一: "Periodically Integrated Autoregression with a Structural Break" Mathematics and Computers in Simulation. (予定). (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 北岡孝義: "ロンドン・ユーロ円市場とインターバンク市場-共和分検定による金利裁定の検証-" 広島大学経済学部研究双書12. (予定). (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 北岡孝義: "短期金融市場における金融政策の検証" 長崎県立大学論集. 30. (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 宣名眞勇: "在庫投資理論のARCHモデルによる検証" 山口経済学雑誌. 42. 51-76 (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 宣名眞勇: "Conditional vdatility and the production smoothing hypothesis of inventory investment" International Journal of Production Economics. 45. 29-36 (1996)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 椿康和: "ネットワーク志向の経済時系列統計資料検索システム" 広島大学経済論叢. 19. 1-16 (1996)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 椿康和: "地域情報化と地域ネットワークの課題" 広島大学経済論叢. 20. 45-65 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 矢野順治: "An Alternative Approach to the Money Denand Function for the Japanese Economy" 広島大学年報経済学. 17. (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 矢野順治,黒柳雅明他と共著: "Macroeconomic Stabilization and Monetary Policy of Four Asian Countries,Japan,Korea,Indonesia,and Phillipines : Targets,Effectiveness and Results" 経済企画庁経済研究所「経済分析」. 145. (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 小瀧光博: "多変量自己回帰モデルにおける共和分のためのJohansenの方式における統計的推測の再検討" 広島大学年報経済学. 16. 43-64 (1995)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 福地純一郎,K.B.Athreya: "Bootstrapping extremes of i.i.d.random variables" NIST Special Publication 866 Extreme Value Theory and Applications. 23-29 (1994)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 福地純一郎,K.B.Athreya: "Confidence intervals for endpoints of a c.d.f.via bootstrap" Journal of Statistical Planning and Inference. (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] K.Maekawa: "The distribution of the Durbin-Watson statistie in integrated and near-integrated models (with H.Hisamatu)." Journal of Econometries. Vol.61. 367-382 (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] K.Maekawa: "Prewhitened unit root test" Economics letters. Vol.45. 145-153 (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] K.Maekawa: "The exact distribution of the OLS and GLS estimators in regression with an integrated regressors and correlated errors (with H.Hisamatsu and J.Knight)" Mathematics and Computers in simulation. Vol.39. 273-277 (1995)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] K.Maekawa: "Estimation in dynamic regression with an integrated process (with T.Yamamoto, Y.takeuchi, and M.Hatanaka)" Journal of Statistical Planning and inference. Vol.49. 279-303 (1995)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] K.Maekawa: "Efficiency properties of feasible generalized least squares estimators in SUR models under non-normal disturbances (with V.K.Srivastava)" Journal of Econometrics. Vol.66. 99-121 (1995)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] K.Maekawa: "Periodically integrated autoregression with a structural break" Mathematics and computers in Simulation. (forthcoming in 1997).

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] T.Kitaoka: "London Euroyen Market and Japanese Interbank Market : The cointegration analysis of interest rate arbitrage" Hiroshima University Economics Monograph Series. 11 (forthcoming in 1997).

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] T.Kitaoka: "Interest rate parity and causality in Japanese money market" Bulletin of Ngasaki Prefectural University. Vol.30. (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] I.Ginama: "ARCH test of the theory of inventory investment" Economic Journal of Yamaguchi University. Vol.42. (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] I.Ginama: "Conditional volatility and the production smoothing hypothesis of inventory investment" International Journal of Production Economics. Vol.45. 29-36 (1996)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] Y.Tsubaki: "Retrieval system for economic time series data on network environment" The Hiroshima Economic Review. Vol.19. 1-16 (1996)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] Y.Tsubaki: "Regional Networks for Regional Information" The Hiroshima Economic Review. Vol.20. 45-65 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] J.Yano: "An alternative approach to the money demand function for the japanese economy" The Hiroshima Economic Studies. Vol.17. 85-99 (1996)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] J.Yano: "Macrocconomic Stabilization and Monetary Policy of Four Asian Countries, Japan, Korea, Indonesia, and Phillipines : Targets, Effectiveness and Results" The Keizai Bunseki (The Economic Analysis) Economic Research Institute, Economic Planning Agency. (1996)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] M.Odaki: "Are-examination of Johansen 7s statistical inference for cointegration in vector autoregressive models" The Hiroshima Economic Studies. Vol.16. 43-64 (1995)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] J.Fukuchi: "Bootstrapping extremes of i.i.d.rondom variables" NIST Special Publication 866, Extreme Value Theory and Applications. (forthcoming in 1997). 23-29 (1994)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] J.Fukuchi: "Confidence intervals for endpoints of a c.d.f.via bootstrap (with K.B.Athreya)" Journal of Statistical Planning and Inference. (forthcoming in 1997).

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1996 Final Research Report Summary
  • [Publications] 前川功一,久松博之: "The Distribution of the Durbin-Watson statistic in integrated and near-integrated models" Journal of Econometrics. 61. 367-382 (1994)

    • Related Report
      1996 Annual Research Report
  • [Publications] 前川功一: "Rrewhitened unit root test" Economics Letters. 45. 145-153 (1994)

    • Related Report
      1996 Annual Research Report
  • [Publications] 前川功一,J. Knight,久松博之: "The exact distribution of the OLS and GLS estimators in regression with an integrated regressors and correlated errors" Mathematics and Computers in Simulation. 39. 273-277 (1995)

    • Related Report
      1996 Annual Research Report
  • [Publications] 前川功一,山本拓,竹内恵行,畠中道雄: "Estimation in dynamic regression with an integrated process" Journal of Statistical Planning and Inference. 49. 279-303 (1996)

    • Related Report
      1996 Annual Research Report
  • [Publications] 前川功一,V. K. Srivastava: "Efficiency properties of feasible generalized least squares estimators in SUR models under non-normal disturbances" Journal of Econometrics. 66. 99-121 (1995)

    • Related Report
      1996 Annual Research Report
  • [Publications] 前川功一: "Periodically Integrated Autoregressin with a Structural Break" Mathematics and Computers in Simulation. (予定). (1997)

    • Related Report
      1996 Annual Research Report
  • [Publications] 北岡孝義: "ロンドン・ユーロ円市場とインターバンク市場-共和分検定による金利裁定の検証-" 広島大学経済学部 研究双書 12. (予定). (1997)

    • Related Report
      1996 Annual Research Report
  • [Publications] 北岡孝義: "短期金融市場における金融政策の検証" 長崎県立台閣論集. 30. (1997)

    • Related Report
      1996 Annual Research Report
  • [Publications] 宜名眞勇: "在庫投資理論のARCHモデルによる検証" 山口経済学雑誌. 42. 51-76 (1994)

    • Related Report
      1996 Annual Research Report
  • [Publications] 宜名眞勇: "Conditinal volatility and the production smoothing hypothesis of inventory investment" International Journal of Production Economics. 45. 29-36 (1996)

    • Related Report
      1996 Annual Research Report
  • [Publications] 椿康和: "ネットワーク志向の経済時系列統計資料検索システム" 広島大学経済論叢. 19. 1-16 (1996)

    • Related Report
      1996 Annual Research Report
  • [Publications] 椿康和: "地域情報化と地域ネットワークの課題" 広島大学経済論叢. 20. 45-65 (1997)

    • Related Report
      1996 Annual Research Report
  • [Publications] 矢野順治: "An Alternative Approach to the Money Demand Function for the Japanese Economy" 広島大学年報経済学. 17. (1997)

    • Related Report
      1996 Annual Research Report
  • [Publications] 矢野順治,黒柳雅明他と共著: "Macroeconomic Stabilization and Monetary Policy of Four Asian Countries, Japan, Korea, Indonesia, and Phillipines : Targets, Effectiveness and Results" 経済企画庁経済研究所「経済分析」. 145. (1997)

    • Related Report
      1996 Annual Research Report
  • [Publications] 小瀧光博: "多変量自己回帰モデルにおける共和分のためのJohansenの方式における統計的推測の再検討" 広島大学年報経済学. 16. 43-64 (1995)

    • Related Report
      1996 Annual Research Report
  • [Publications] 福地純一郎, K. B. Athreya: "Bootstrapping extremes of i. i. d. random variables" NIST Special Pablication 866 Extreme Value Theory and Applications. 23-29 (1994)

    • Related Report
      1996 Annual Research Report
  • [Publications] 福地純一郎, K. B. Athreya: "Confidence intervals for endpoints of a c. d. f. via bootstrap" Journal of Statistical Planning and Inference. (1997)

    • Related Report
      1996 Annual Research Report
  • [Publications] Koichi Maekawa: "Prewhitened unit root test" Economics Letters. 45. 145-153 (1994)

    • Related Report
      1995 Annual Research Report
  • [Publications] Hiroyuki Hisamatsu (with K. Maekawa): "The distribution of the Durbin-watson statistic in integrated and near-integrated models" Journal of Econometrics. 61. 367-382 (1994)

    • Related Report
      1995 Annual Research Report
  • [Publications] V. K. Srivastava (with K. Maekawa): "Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances" Journal of Econometrics. 66. 99-121 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] H. Hisamatsu (with J. L. Knight, K. Maekawa): "The exact distribution of the OLS and GLS estimators in regression with an integrated regressor and correlated errors" Mathematics and Computers in Simulation. 39. 273-277 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] Koichi Maekawa: "Estimation in dynamic regression with an integrated process." Journal of Statistical Planning and Inference. 49. (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] Koichi Maekawa: "Periodically Integrated Autoregression with a Structural Change" Mathematics and Computer in Simulation. 50(予定). (1996)

    • Related Report
      1995 Annual Research Report
  • [Publications] 北岡孝義: "預金金利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. 129-162 (1994)

    • Related Report
      1995 Annual Research Report
  • [Publications] 北岡孝義: "株価変動と可変的トレンド・モデル" 広島大学経済論叢. 18. 169-192 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] 北岡孝義: 短期金融市場における金融政策の効果波及経路の検証. 広島大学経済論叢. 1996 (19(予定))

    • Related Report
      1995 Annual Research Report
  • [Publications] 宜名真 勇: "A conditional volatility and the production smoothing hypothesis of inventory investment" International Journal of Production Economics. (予定). (1996)

    • Related Report
      1995 Annual Research Report
  • [Publications] 椿 康和: "わが国におけるインターネットの展開と課題" 広島大学経済論叢. 18. 85-114 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] 椿 康和: "ネットワーク志向の経済時系列統計資料検索システム" 広島大学経済論叢. 19(予定). (1996)

    • Related Report
      1995 Annual Research Report
  • [Publications] Jzunji Yano: "On the Role of the Bonus Payment for the Japanese Business Cycles: Revisited" 広島大学経済論叢. 18. 115-137 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] 高林喜久生: "税収の地域間格差について" 広島大学年報経済学. 16. 15-32 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] 高林喜久生: "地方財政調整の再検討" 広島大学経済論叢. 18. 235-247 (1994)

    • Related Report
      1995 Annual Research Report
  • [Publications] 小滝光博: "多変量自己回帰モデルにける共和分のためのJohansenの方式による統計的推測の再検討" 広島大学年報経済学. 16. 43-64 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] 福地純一郎: "Confidence Intervals for endpoints of acaf via bootstrap" Journal of Statistical Planning and Inference. (予定). (1996)

    • Related Report
      1995 Annual Research Report
  • [Publications] 矢野順治: "An Alternative Approach to Money Demand Function for the Japanese Economy" 広島大学年報経済学. 17(予定). (1996)

    • Related Report
      1995 Annual Research Report
  • [Publications] 矢野順治(他7名): "経済分析英語版・ECONOMIC ANALYSYS" 経済企画庁(予定), (1996)

    • Related Report
      1995 Annual Research Report
  • [Publications] 前川功一・久松博之: "The distribution of the Durbin-Watson statistic in integrated and near-integrated models" Journal of Econometrics. 61. 367-382 (1994)

    • Related Report
      1994 Annual Research Report
  • [Publications] 北岡孝義: "株価変動と可変的トレンド・モデル" 広島大学経済論叢. 18. 169-192 (1994)

    • Related Report
      1994 Annual Research Report
  • [Publications] 矢野順治: "On the Role of the Bonus Payments for the Japanese Business Cycles" 広島大学経済論叢. 18(掲載予定). (1995)

    • Related Report
      1994 Annual Research Report
  • [Publications] 椿康和: "わが国におけるインターネットの展開と課題" 広島大学経済論叢. 18(掲載予定). (1995)

    • Related Report
      1994 Annual Research Report
  • [Publications] 小滝光博: "多変量自己回帰モデルにおける共和分のためのJohansenの方式による統計的推測の再検討" 広島大学経済学部紀要年報経済学. 16(掲載予定). (1995)

    • Related Report
      1994 Annual Research Report
  • [Publications] 前川功一: "Prewhitened Unit Root Test" Economics Letters. 45. 145-153 (1994)

    • Related Report
      1994 Annual Research Report

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Published: 1994-04-01   Modified: 2016-04-21  

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