Analysis of the graph structure in economic time-series data

• Project/Area Number: 19530190
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Meisei University
• Principal Investigator: HOSOYA Yuzo Meisei University, 経済学部, 教授 (40004197)
• Project Period (FY): 2007 – 2009
• Project Status: Completed (Fiscal Year 2009)
• Budget Amount: ¥4,550,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥1,050,000); Fiscal Year 2009: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000); Fiscal Year 2008: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000); Fiscal Year 2007: ¥1,820,000 (Direct Cost: ¥1,400,000、Indirect Cost: ¥420,000)
• Keywords: 因果測度 / グラフィカルモデル / 経済時系列 / 多変量従属関係 / 共和分モデル一方向因果性 / 統計的漸近理論 / スペクトル正準分解 / 経済時系列解析 / 共和分モデル / 一方向偏因果性 / 経済時系列モデル / 因果性測度 / 経済時系列データ / 方向偏因果性 / ウィットル尤度関数

Research Abstract

In this research I have dealt with the problem of combining this approach used in analyzing multivariate experimental data and the approach developed in time series analysis on the prediction improvement. The research during the period 2007-2009 surveyed the predecessor studies in this field. In the research I have produced a feasible way of numerically feasible method of conducting statistical estimation and testing of partial causal measures.

Research Products

• [Journal Article] A numerical method for factorizing the rational spectral density matrix (2010)
  • Author(s): Hosoya, Y., Takimoto, T.
  • Journal Title: vol.31 Pages: 229-240
  • NAID: 40007452553
• [Journal Article] nference on transformed stationary time series (2009)
  • Author(s): Hosoya, Y., Terasaka, T.
  • Journal Title: Journal of Econometrics vol.151 Pages: 129-139
• [Journal Article] スペクトル正準分解と偏因果諸測構成 (2009)
  • Author(s): 細谷雄三
  • Journal Title: 日本統計学会誌 第38巻第2号 Pages: 1-24
• [Journal Article] スペクトル正準分解と偏因果諸測度の構成 (2009)
  • Author(s): 細谷雄三
  • Journal Title: 日本統計学会誌 38巻 Pages: 251-279
• [Journal Article] Inference on transformed stationary time series (2009)
  • Author(s): Yuzo Hosoya, Takahiro Terasaka
  • Journal Title: Journal of Economerics Vol.151 Pages: 129-139
  • Peer Reviewed
• [Journal Article] スペクトル正準分解と因果測度の構成 (2009)
  • Author(s): 細谷 雄三
  • Journal Title: 日本統計学会誌(シリーズJ) 38巻 Pages: 251-279
• [Journal Article] Inference on a set of statistical models (2008)
  • Author(s): Hosoya, Y.
  • Journal Title: Journal of The apan Statistical Society vol.38,no.1 Pages: 107-118
  • NAID: 10030993558
• [Journal Article] Inference on a set of statistical models (2008)
  • Author(s): Yuzo Hosoya
  • Journal Title: Journal of the Japan Statistical Society Vol. 38 Pages: 107-118
  • NAID: 10030993558
  • Peer Reviewed
• [Presentation] Inference on transformed stationary time series (2008)
  • Author(s): 細谷雄三, 寺坂崇弘
  • Organizer: 日本経済学会秋季大会
  • Place of Presentation: 近畿大学
  • Year and Date: 2008-09-15
• [Presentation] Inference on transformed stationary time series (2007)
  • Author(s): Yuzo Hosoya
  • Organizer: Econometric Conference in honour of P.M.Robins on
  • Place of Presentation: London School of Economics
  • Year and Date: 2007-05-26
• [Presentation] Inference on transformed stationary time series (2007)
  • Author(s): ロンドン・スクール・オブ・エコノミクス
  • Organizer: ピーター・ロビンソン教授記念計量経済学コンファレンス
  • Place of Presentation: ロンドン
• [Book] 経済モデルは何の役に立つのか-経済経験モデルの特定化と評価 (2009)
  • Author(s): C. W. J. Granger
  • Publisher: 牧野書店
• [Book] 経済モデルは何の役にたつのか―経済経験モデルの特定化とその評価 (2009)
  • Author(s): C.W.J.グレンジャー著, 細谷雄三訳
  • Total Pages: 114
  • Publisher: 牧野書店
• [Book] 経済モデルは何の役に立つのか-経済経験モデルの特定化と評価 (2009)
  • Author(s): C. W. J. グレンジャー著, 細谷雄三訳
  • Total Pages: 114
  • Publisher: 牧野書店
• [Book] Inference on transformed stationary time series (2008)
  • Author(s): Yuzo Hosoya and Takahiro Terasaka
  • Total Pages: 32
  • Publisher: 明星大学経済学研究科 Discussion Paper No.11
• [Remarks] ホームページ等
  • URL: http://www.hino.meisei-u.ac.jp/econ/yhosoya/
• [Remarks]
  • URL: http://www.hino.meisei-u.ac.jp/econ/yhosoya