Foundations and applications of statistics for nonlinear nonstationary stochastic processes
| 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)
Research Products
(3 results)
