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Cointegration analysis of the vector moving average process

Research Project

Project/Area Number 07630023
Research Category

Grant-in-Aid for Scientific Research (C)

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

Principal Investigator

MORIMUNE Kimio  KYOTO UNIVERSITY Instite of Economic Research, Professor, 経済研究所, 教授 (20109078)

Project Period (FY) 1995 – 1997
Project Status Completed (Fiscal Year 1997)
Budget Amount *help
¥1,900,000 (Direct Cost: ¥1,900,000)
Fiscal Year 1997: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1996: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1995: ¥900,000 (Direct Cost: ¥900,000)
KeywordsCointegration / Unit root / Macro economics / Causality / Structural change / 貨幣供給量
Research Abstract

The unit root test for the vector moving average process is studied in this research. We apply the non-stationary test of the Granger causality between the Japanese money supply and GNP in this paper. The unit root techniques and the co-integration analysis have grown rapidly in econometrics in the last ten years, and the non-stationary test for Granger causality is developed. We shed new lights on the money income causality using the non-stationary techniques.
We firstly specify the uni-variate ARMA models of the money, income, GNP deflator, and the rate of interest using the Dickey and Fuller (DF) or the augmented DF (ADF) tests. Two diagnostic tests are applied to each selected ARMA regression. One is the residual DF test, and the other is the MA unit root test of residuals. After the ARMA model selection, the VAR regression is estimated with co-integrated relation using Johansen's maximum likelihood method. In this estimation, the lag length of each variable is taken to be different from each other which are kept the same in Johansen. The two causality tests are applied to the VAR one of which is the maximum likelihood and the other is the OLS method. It is found out that the income is causing money but not the opposite. Further analyzes of the causality are performed using various lag lengths in VAR but keeping the same lag length for all variables. The income to money causality is found again.
The causality is examined for the shorter sample periods which are used by Oritani (1979) . There, the money is found to be non-stationary but the income is stationary. The Granger test is modified to the VAR which includes both stationary and non-stationary variables. The Granger test resulted in the income to money causality, not in the money to income causality. Comments follow on the filter used by Sims (1972) .

Report

(4 results)
  • 1997 Annual Research Report   Final Research Report Summary
  • 1996 Annual Research Report
  • 1995 Annual Research Report
  • Research Products

    (33 results)

All Other

All Publications (33 results)

  • [Publications] 森棟 公夫: "Limited Information Estimation and Testing Subject to Linear Constraints" Journal of Statistical Planning and Inference. 50. 223-240 (1996)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 森棟 公夫: "ARMA and ARIMA Approaches to the Unit Root Analysis of Macro Economic Variables" Journal of the Japan Statistical Society. 27. 1-18 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 森棟 公夫: "Non-Stationary Analysis of the Japanese Money Demand Function" Journal of Economic Research. 2. 1-29 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 森棟 公夫: "The Unit Root Analysis of the Causality Between Japanese Money and Income" Japanese Economic Review. 48. 343-367 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 森棟 公夫: "ARIMA Approach to the Unit Root Analysis of Macro Economic Time Series" Mathematics and Computers in Simulation. 43. 395-403 (1997)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 森棟 公夫: "Switching Orthogonality" International Economic Review. 39. 171-182 (1998)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 森棟 公夫・刈屋 武昭: "リスク管理と金融投資戦略" 東洋経済新報社, 214 (1998)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 森棟 公夫・刈屋 武昭: "金融・証券投資戦略の新展開" 東洋経済新報社, 176 (1995)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Kosuke Oya: ""Limited Information Estimation and Testing Subject to Linear Constraints"" Journal of Statistical Planning and Inference. Vol.50. 223-240 (1996)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Kenji Miyazaki: ""ARMA and ARIMA Approaches to the Unit Root Analyzes of Macro Economic Variables"" Journal of the Japanese Statisicsl Society. Vol.27. 1-18 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Guo Qing Zhao: ""Non-Stationary Analysis of the Japanese Money Demand Function"" Journal of Economic Research. Vol.2, No.2. 1-29 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Guo Qing Zhao: ""Unit Root Analyzes of the Causality between Japanese Money and Income"" Japanese Economic Review. Vol.48, No.4. 343-367 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Keniji Miyazaki: ""ARIMA Approach to the Unit Root Analyzes of Macro Economic Time Series"" Mathematics and Computers in Simulation. Vol.43. 395-403 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Michael McAleer: ""Switching Orthogonality"" International Economic Review. Vol.39, No.1. 171-182 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Mitsuru Nakagawa: ""Unit Root Tests which Allow for Multiple Trend Breaks"" (submitted to a journal.).

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] Mitsuru Nakagawa: ""The Trend-Break Unit Root Test When the Break Point is Misspecified"" Mathematics and Computers in Simulation. (forthcoming.).

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1997 Final Research Report Summary
  • [Publications] 森棟公夫: "Limited Information Estimation and Testing Subject to Linear Constraints" Journal of Statistical Planning and Inference. 50. 223-240 (1996)

    • Related Report
      1997 Annual Research Report
  • [Publications] 森棟公夫: "ARMA and ARIMA Approaches to the Unit Root Analysis of Macro Economic Variables" Journal of the Japan Statistical Society. 27. 1-18 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] 森棟公夫: "Non-Stationary Analysis of the Japanese Money Demand Function" Journal of Economic Research. 2. 1-29 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] 森棟公夫: "The Unit Root Analysis of the Causality Between Japanese Money and Income" Japanese Economic Revjew. 48. 343-367 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] 森棟公夫: "ARIMA Approach to the Unit Root Analysis of Macro Economic Time Series" Mathematics and Computers in Simulation. 43. 395-403 (1997)

    • Related Report
      1997 Annual Research Report
  • [Publications] 森棟公夫: "Switching Orthogonality" International Economic Review. 39. 171-182 (1998)

    • Related Report
      1997 Annual Research Report
  • [Publications] 森棟公夫: "リスク管理と金融投資戦略" 東洋経済新報社, 214 (1998)

    • Related Report
      1997 Annual Research Report
  • [Publications] 森棟公夫: "金融・証券投資戦略の新展開" 東洋経済新報社, 176 (1995)

    • Related Report
      1997 Annual Research Report
  • [Publications] 森棟公夫: "Limited Information Estimation and Testing Subject to Linear Constraints." Journal of Statistical Planning and Inference. 50. 223-240 (1996)

    • Related Report
      1996 Annual Research Report
  • [Publications] 森棟公夫: "The Unit Root Analyses of the Causality between Japanese Money and Income" Japanese Economic Review,(forcecoming). (予定).

    • Related Report
      1996 Annual Research Report
  • [Publications] 森棟公夫: "ARIMA Approach to the Unit Root Analyses of Macro Economic time Series" Mathematics and Computers in Simulation (forcecoming). (予定).

    • Related Report
      1996 Annual Research Report
  • [Publications] 森棟公夫: "Switching Orthogonality" International Economic Review (forcecoming). (予定).

    • Related Report
      1996 Annual Research Report
  • [Publications] 森棟公夫: "ARMA and ARIMA Approaches to the Unit Root Analyses of Macro Economic variables" Journal of the Japan Statistical Society (forcecoming). (予定).

    • Related Report
      1996 Annual Research Report
  • [Publications] 森棟公夫: "時系列分析における新展開" 経済論叢. 155. 1-21 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] 森棟,万谷: "Rank of Co-integration coher the order of VAR is unknown" Japanese Economic Review. 42. 191-204 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] 森棟,万谷: "Estimating the rank of Co-integration After estimating the bs order of VAR with unit roots" Mathematics and Computers in Simulation. 39. 265-271 (1995)

    • Related Report
      1995 Annual Research Report
  • [Publications] 森棟,大屋: "Limited Information Estimation under Linear Constraints" Journal of Statistical Planning and Inference. 49. 1-18 (1995)

    • Related Report
      1995 Annual Research Report

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Published: 1995-04-01   Modified: 2016-04-21  

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