Foundations and applications of statistics for nonlinear nonstationary stochastic processes

Research Project

Project/Area Number	16H06836
Research Category	Grant-in-Aid for Research Activity Start-up
Allocation Type	Single-year Grants
Research Field	Economic statistics
Research Institution	Shinshu University
Principal Investigator	Yabe Ryota 信州大学, 学術研究院社会科学系, 講師 (60779164)
Project Period (FY)	2016-08-26 – 2018-03-31
Project Status	Completed (Fiscal Year 2017)
Budget Amount *help	¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000) Fiscal Year 2017: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000) Fiscal Year 2016: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000)
Keywords	時系列解析 / 非定常 / ノンパラメトリック統計学 / セミパラメトリック統計学 / 経済統計学 / 計量経済学 / 単位根 / 統計学
Outline of Final Research Achievements	Macroeconomic data such as GDP and interest rate has been considered to have stochastic trend, which is represented by a nonstationary process such as unit root and long memory process in Econometrics. To analyze nonlinear relationship between multiple economic data, the non/semi parametric nonstationary regression model is often applied. To study various nonstationary semiparametric model, we have provided asymptotic theory about a kernel function such as its uniform convergence rate and asymptotic distribution.

Report

(3 results)