Analysis of Time Series Data: Theory and its Applications
| Project/Area Number |
60530015
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| Research Category |
Grant-in-Aid for General Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Research Field |
統計学
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| Research Institution | HIROSHIMA UNIVERSITY |
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Principal Investigator |
MAEKAWA Koichi Professor, Department of Economics, Hiroshima University, 経済学部, 教授 (20033748)
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| Co-Investigator(Kenkyū-buntansha) |
TANIGUCHI Masanobu Assoc. Prof. Department of Science, Hiroshima University, 理学部, 助教授 (00116625)
FUJIKOSHI Yasunori Professor, Department of Science, Hiroshima University, 理学部, 教授 (40033849)
KITAOKA Takayoshi Assoc. Prof.,Deaprtment of Economics, Hiroshima University, 経済学部, 助教授 (60116572)
OKAMOTO Masanori B. Professor, Department of Economics, Hiroshima University, 経済学部, 教授 (20034530)
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| Project Period (FY) |
1985 – 1986
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| Project Status |
Completed (Fiscal Year 1986)
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| Budget Amount *help |
¥1,300,000 (Direct Cost: ¥1,300,000)
Fiscal Year 1986: ¥400,000 (Direct Cost: ¥400,000)
Fiscal Year 1985: ¥900,000 (Direct Cost: ¥900,000)
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| Keywords | Time Series Analysis / Asymptotic Expansion / ARMA process / Causality Test / Maximum Likelihood Estimator |
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| Research Abstract |
The results of this projects are associated with the following three area: (1) Asymptotic expansion in time series analysis, (2) Special problems in economic time series, (3) Basic problems in asymptotic expansion. Following the above classification, we describe the main results of our projects.
(1) Maekawa derived the Edgeworth expansion for the OLS estimator in a ARMAX model and analyzed the resulting formulas. He also obtained the expansion for the four predictors in AR(p) process and compared the finite sample properties of them. Taniguchi developed the theory of the third order asymptotic efficiency of the maximum likelihood estimator in the Gaussian ARMA process and found that a modified MLE in the class D was efficient in that sense.
(2) Okamoto extended the Sims' noncausality to a more general case and proposed the multivariate relative powe contribution(MRPC) for the causality test in VAR model. Kitaoka compared several test procedures for causality by simulation method under various conditions and found that RPC was the most robust among them.
(3) Fujikoshi investigated basic problems in the asymptotic expansion. His results seems to be very relevant to the asymptotic expansion in time deries analysis. For example, his method in evaluating the error bound in approximations will be applicable to the time series analysis.
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Report
(1 results)
Research Products
(11 results)
