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Statistical Estimation and Testing for Partial Causal Measures in Multivariate Economic Time Series

Research Project

Project/Area Number 17530160
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionMeisei University (2006)
Tohoku University (2005)

Principal Investigator

HOSOYA Yuzo  Meisei University, Department of Economics, Professor, 経済学部, 教授 (40004197)

Project Period (FY) 2005 – 2006
Project Status Completed (Fiscal Year 2006)
Budget Amount *help
¥3,600,000 (Direct Cost: ¥3,600,000)
Fiscal Year 2006: ¥1,800,000 (Direct Cost: ¥1,800,000)
Fiscal Year 2005: ¥1,800,000 (Direct Cost: ¥1,800,000)
Keywordscausal relations / causal measures / multivariate time series / economic time series / macroeconomics / Whittle estimators / Wald test / frequency domain analysis / 因果測度 / 偏因果性 / 多変量経済時系列 / 共和分モデル / スペクトル密度分解
Research Abstract

In the literature of time-series causal analysis, research workers have proposed a variety of third -series effect elimination method in the presence of such a series. In this research of the year 2006, I dealt with the problems of specification of time-series models, estimation and testing of one-way causal measures and developing feasible computational algorithm for statistical inference and application to real economic time-series data sets in order to characterize quantitatively and more precisely the dependency between a pair of time series in the presence of a third series. Those partial causal measures are estimated based on such a specific model as the cointegrated ARMA model and the research focused on numerical method of estimating and testing the cointegrated ARMA under the precise conditions of a specified rank condition and the research was able to produce a feasible procedure. The partial causal measures requires a canonical factorization method of ARMA spectral densities in the in the process of evaluating the measures. The research of this year could develop a numerical procedure for spectral factorization which is an essential step in deriving the partial measures and hence this made feasible the whole project of statistical inference on the partial measures.

Report

(3 results)
  • 2006 Annual Research Report   Final Research Report Summary
  • 2005 Annual Research Report
  • Research Products

    (8 results)

All 2007 2006 2005

All Journal Article (8 results)

  • [Journal Article] An approach to time-series partial causal analysis2007

    • Author(s)
      Yuzo Hosoya, Taro Takimoto
    • Journal Title

      研究年報「経済学」 68巻3号

      Pages: 53-76

    • NAID

      40015457144

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Journal Article] A modified Box-Cox transformation in the multivariate ARMA model2007

    • Author(s)
      Takahiro Terasaka, Yuzo Hosoya
    • Journal Title

      Journal of The Japan Statistical Society vol.37, no. 1

      Pages: 1-28

    • NAID

      110006317395

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] An approach to time-series partial causal analysis2007

    • Author(s)
      Yuzo Hosoya, Taro Takimoto
    • Journal Title

      To appear in Annual Report of Tohoku Economic Society vol.68, no.3

    • NAID

      40015457144

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] A modified Box-Cox transformation in the multivariate ARMA model2007

    • Author(s)
      Takahiro Terasaka, Yuzo Hosoya
    • Journal Title

      To appear in Journal of The Japan Statistical Sociey vol. 37, no.1

    • NAID

      110006317395

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] A modified Box-Cox transformation in the multivariate ARMA model2007

    • Author(s)
      Takahiro Terasaka, Yuzo Hosoya
    • Journal Title

      Journal of The Japan Statistical Society vol.37, no.1

    • NAID

      110006317395

    • Related Report
      2006 Annual Research Report
  • [Journal Article] Inference on the cointegration rank and a procedure for VARMA root-modification2006

    • Author(s)
      Taro Takimoto, Yuzo Hosoya
    • Journal Title

      Journal of The Japan Statistical Society vol. 36, no. 2

      Pages: 149-171

    • NAID

      110005716712

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      2006 Final Research Report Summary
  • [Journal Article] Inference on the cointegration rank and a procedure for VARMA root-modification2006

    • Author(s)
      Taro Takimoto, Yuzo Hosoya
    • Journal Title

      Journal of The Japan Statistical Society vol.36, no.2

      Pages: 149-171

    • NAID

      110005716712

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      2006 Annual Research Report 2006 Final Research Report Summary
  • [Journal Article] Fractional invariance principle2005

    • Author(s)
      Yuzo Hosoya
    • Journal Title

      Journal of Time Series Analysis Vol.26,No.3

      Pages: 463-486

    • Related Report
      2005 Annual Research Report

URL: 

Published: 2005-04-01   Modified: 2016-04-21  

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