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Statistical Inference on Long-Memory Time Series and its Applications to Economic Data

Research Project

Project/Area Number 23730209
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Economic statistics
Research InstitutionOkayama University (2012-2013)
Tohoku University (2011)

Principal Investigator

NARUKAWA Masaki  岡山大学, 社会文化科学研究科, 准教授 (30588489)

Project Period (FY) 2011 – 2013
Project Status Completed (Fiscal Year 2013)
Budget Amount *help
¥2,210,000 (Direct Cost: ¥1,700,000、Indirect Cost: ¥510,000)
Fiscal Year 2013: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2012: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Keywords長期記憶 / セミパラメトリック推定 / 周期性 / 確率的ボラティリティ / 実数差分過程 / 多変量時系列 / 非定常過程 / 季節変動 / パネルデータ / Broadband / 季節変動時系列
Research Abstract

In this research, we proposed semiparametric statistical inference on various long-memory time series, such as long-memory signal plus noise processes and cyclical long-memory time series. By applying the proposed method to a long-memory stochastic volatility model, we examined long-memory in the volatility of exchange rates. We also provided an empirical analysis of the growth rate of Japan's industrial production index and detected its cyclical persistence.

Report

(4 results)
  • 2013 Annual Research Report   Final Research Report ( PDF )
  • 2012 Research-status Report
  • 2011 Research-status Report
  • Research Products

    (15 results)

All 2014 2013 2012 2011 Other

All Journal Article (7 results) (of which Peer Reviewed: 5 results) Presentation (8 results)

  • [Journal Article] Semiparametric Whittle estimation of cyclical long-memory time series by generalized exponential models2014

    • Author(s)
      Narukawa, M
    • Journal Title

      The Economic Association of Okayama University Discussion Paper

      Volume: I-88 Pages: 1-19

    • Related Report
      2013 Final Research Report
  • [Journal Article] Semiparametric Whittle estimation of cyclical long-memory time series by generalized exponential models2014

    • Author(s)
      Narukawa, M.
    • Journal Title

      岡山大学経済学会Discussion Paper

      Volume: I-88 Pages: 1-19

    • Related Report
      2013 Annual Research Report
  • [Journal Article] On semiparametric testing of I(d) by FEXP models2013

    • Author(s)
      Narukawa, M
    • Journal Title

      Communications in Statistics-Theory and Methods

      Volume: Vol.42 Pages: 1637-11653

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] On semiparametric testing of I(d) by FEXP models2013

    • Author(s)
      Narukawa, M.
    • Journal Title

      Communications in Statistics - Theory and Methods

      Volume: 42 Issue: 9 Pages: 1637-1653

    • DOI

      10.1080/03610926.2011.594539

    • Related Report
      2012 Research-status Report
    • Peer Reviewed
  • [Journal Article] On semiparametric testing of I(d) by FEXP models2012

    • Author(s)
      Narukawa, M.
    • Journal Title

      Communications in Statistics -Theory and Methods

      Volume: 未定

    • Related Report
      2011 Research-status Report
    • Peer Reviewed
  • [Journal Article] Global semiparametric estimation of long-memory signal plus noise processes2011

    • Author(s)
      Narukawa, M
    • Journal Title

      Journal of the Japan statistical Society

      Volume: Vol.41 Pages: 205-226

    • NAID

      10030497351

    • Related Report
      2013 Final Research Report
    • Peer Reviewed
  • [Journal Article] Global semiparametric estimation of long-memory signal plus noise processes2011

    • Author(s)
      Narukawa, M.
    • Journal Title

      Journal of the Japan Statistical Society

      Volume: 41 Pages: 205-226

    • NAID

      10030497351

    • Related Report
      2011 Research-status Report
    • Peer Reviewed
  • [Presentation] 多変量非定常長期記憶時系列のセミパラメトリック推定2013

    • Author(s)
      生川雅紀, 松田安昌
    • Organizer
      日本統計学会
    • Place of Presentation
      大阪大学
    • Year and Date
      2013-09-10
    • Related Report
      2013 Final Research Report
  • [Presentation] 周期性を持つ長期記憶時系列のセミパラメトリック推定2012

    • Author(s)
      生川雅紀
    • Organizer
      日本統計学会
    • Place of Presentation
      北海道大学
    • Year and Date
      2012-09-11
    • Related Report
      2013 Final Research Report
  • [Presentation] Pooled local Whittle estimation of panel long-memory models2012

    • Author(s)
      Narukawa, M. and Matsuda, Y
    • Organizer
      The 2nd Institute of Mathematical Statistics Asia Pacific Rim Meeting
    • Place of Presentation
      Epochal Tsukuba
    • Year and Date
      2012-07-03
    • Related Report
      2013 Final Research Report
  • [Presentation] On semiparametric testing of I(d) by FEXP models2011

    • Author(s)
      生川雅紀
    • Organizer
      日本統計学会
    • Place of Presentation
      九州大学
    • Year and Date
      2011-09-07
    • Related Report
      2013 Final Research Report
  • [Presentation] 多変量非定常長期記憶時系列のセミパラメトリック推定

    • Author(s)
      生川雅紀・松田安昌
    • Organizer
      2013年度統計関連学会連合大会
    • Place of Presentation
      大阪大学
    • Related Report
      2013 Annual Research Report
  • [Presentation] Pooled local Whittle estimation of panel long-memory models

    • Author(s)
      Narukawa, M. and Matsuda, Y.
    • Organizer
      The 2nd Institute of Mathematical Statistics Asia Pacific Rim Meeting
    • Place of Presentation
      Epochal Tsukuba
    • Related Report
      2012 Research-status Report
  • [Presentation] 周期性を持つ長期記憶時系列のセミパラメトリック推定

    • Author(s)
      生川雅紀
    • Organizer
      日本統計学会2012年度第80回大会
    • Place of Presentation
      北海道大学
    • Related Report
      2012 Research-status Report
  • [Presentation] On semiparametric testing of I(d) by FEXP models

    • Author(s)
      生川雅紀
    • Organizer
      日本統計学会2011年度第79回大会
    • Place of Presentation
      九州大学伊都キャンパス
    • Related Report
      2011 Research-status Report

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Published: 2011-08-05   Modified: 2019-07-29  

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