| Budget Amount *help |
¥4,030,000 (Direct Cost: ¥3,100,000、Indirect Cost: ¥930,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2012: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2010: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
|
|---|
| Research Abstract |
This research provides an approach to characterize the dependency structure between multivariate variables. Focused on the stationary ARMA model, the research produced a feasible way of numerically feasible method of conducting statistical estimation and testing of partial causal measures. Although focused on the stationary ARMA model, the approach has wide applicability in cointegrated time-series. The research conducted simulation study to evaluate the small-sample performance of the developed plug-in estimation method for the interdependence measures on the basis of large-scale Monte Carlo experiments and also the three-step maximum Whittle likelihood estimation procedure for the model parameters. The research also contributed in an empirical study on the U.S. macro and financial economy. In particular, intensive study was made on the causal structure among the term spread and growth rates of real GDP, M2 and CPI, adding a new insight to the literature of the allied field.
|
