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Long-memory time series; its foundations and applications to economics.

Research Project

Project/Area Number 63530014
Research Category

Grant-in-Aid for General Scientific Research (C)

Allocation TypeSingle-year Grants
Research Field 統計学
Research InstitutionHIROSHIMA UNIVERSITY

Principal Investigator

OKAMOTO Masanori  Hiroshima University Dept. Economics, Professor, 経済学部, 教授 (20034530)

Co-Investigator(Kenkyū-buntansha) ODAKI Mitsuhiro  Hiroshima University Dept. Economics, Lecturer, 経済学部, 講師 (00194564)
TANIGUSHI Masanobu  Hiroshima University Dept. Sciences, Assist. Prof., 理学部, 助教授 (00116625)
FUJIKOSHI Yasumori  Hiroshima University Dept. Sciences, Professor, 理学部, 教授 (40033849)
MAEKAWA Kouichi  Hiroshima University Dept. Economics, Professor, 経済学部, 教授 (20033748)
KIMURA Shigeru  Hiroshima University Dept. Economics, Professor, 経済学部, 教授 (80067454)
Project Period (FY) 1988 – 1989
Project Status Completed (Fiscal Year 1989)
Budget Amount *help
¥1,400,000 (Direct Cost: ¥1,400,000)
Fiscal Year 1989: ¥700,000 (Direct Cost: ¥700,000)
Fiscal Year 1988: ¥700,000 (Direct Cost: ¥700,000)
KeywordsLong-memory Time Series / Exchange Rate Model / FGN / Fractional ARIMA / Power Function / Cointegration / Asymptotic Expansion / Ancillary Statistic / ペリオドグラム / R / S-分析 / 直物為替レ-ト / 非線形回帰モデル / 長期記憶時系列モデル / 為替レート / Hurst係数 / Cointegration / 非線型最小2乗推定量 / 検定 / ARMA
Research Abstract

OKAMOTO generated FGN and fractional ARIMA(O,d,O) and ARIMA(l,d,O)on the computer to simulate long-memory time series. By FGN plus certain sinusoidal components,,he obtained the simulated time series having the same long-memory character as the real exchange rate. He also studied the effects of autoregressive part on fractional ARIMA(l,d,O). He estimate degree d of fractional differencing of ARIMA with additional 1/2 differencing from the relation of periodogram vs frequency. He presented a statistic testing the null hypothesis of Brownian motion vs the alternatives of fractional Brownian motion and commuted its power function. KIMURA & Okamoto studied about models of exchange rate from the point of view of random walk, interest parity, unbiased predictor and time series AR model, in particular about predictability of different models. ODAKI studied the cointegration and common trend under the condition of the existence of constant term. Asymptotic ancillarity in time series was studied by TANIGUCHI. MAEKAWA presented asymptotic expansion of the sample distribution of unknown parameter of spectral density up to the third order. He also reported asymptotic expansion of OLS estimate in nonlinear regression model. FUJIKOSHI made a series of studies on error bounds for asymptotic expansions of the distributions of some multivariate statistics.

Report

(3 results)
  • 1989 Annual Research Report   Final Research Report Summary
  • 1988 Annual Research Report
  • Research Products

    (24 results)

All Other

All Publications (24 results)

  • [Publications] M.B.OKAMOTO: "Long-range dependence of foreingn exchance rate and estimation of parameter in fractionally differenced processes." The Hiroshima Economic Studies. 11. (inpress) (1990)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] 木村滋: "為替レ-トの伸縮価格マネタリ-・アプロ-チ" エコノインフォマテッテクス(姫路独協大学). 創刊号. (1990)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] K.MAEKAWA: "Comparing the Wald,LR and LM tests for heteroscedasticity in a linear regression model." Economic Letters.26. 37-41 (1988)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] Y.FUJIKOSHI: "Error bounds for asymptotic expansions of the maximum of the multivariate t-and F-variables with common denominator." The Hiroshima Mathematical Journal.19. 319-327 (1989)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] M.TANIGUCHI: "Asymptotic ancillarity in time series analysis" Journal of the Japan Statistical Society.18. 107-121 (1988)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] M.ODAKI: "On a statistical criterion for detecting cointegration and common trends in the vector time series." The Hiroshima Econmic Studies.10. 141-14 (1989)

    • Description
      「研究成果報告書概要(和文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] OKAMOTO, Masanori: "Long-range dependence of foreign exchange rate and estimation of parameter in fractionally differenced processes." The Hiroshima Economic Studies. Vol.11. (1990)

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] KIMURA, Shigeru: "Monetary approach-- flexible price of exchange rate." Econoinformatic, Vol.1, 1990. (to be published).

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] MAEKAWA, Kouichi: "Comparing the Wald, LR and LM tests for heteroscedasticity in a linear regression model" Economic Letters, Vol.26, 1988, 37-41.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] FUJIKOSHI, Yasurori: "Error bounds for asymptotic expansions of the maximum of the multivariate t- and F-variables with common denominatir." The Hiroshima Math.Journal. Vol.19, 1988, 319-327.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] TANIGUCHI, Masanobu: "Asymptotic ancillarity in time series analysis." Journal Japan Statist. Soc., Vol.18, 1988, 107-121.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] ODAKI, Mitsuhiro: "On a statistical criterion for detecting cointegration and common trends in the vector time series." The Hiroshima Economic Studies, Vol.10, 1989, 141-154.

    • Description
      「研究成果報告書概要(欧文)」より
    • Related Report
      1989 Final Research Report Summary
  • [Publications] M.B.OKAMOTO: "Long-range dependence of foreign exchange rate and estimation of parameter in fractionally differenced processes." The Hiroshima Economic Studies.11. (1990)

    • Related Report
      1989 Annual Research Report
  • [Publications] 木村滋: "為替レ-トの伸縮価格マネタリ-・アプロ-チ" エコ・インフォマテッテクス(姫路独協大学). 創刊号. (1990)

    • Related Report
      1989 Annual Research Report
  • [Publications] K.MAEKAWA: "Asymptotic expansions and curvature measures in a nonlinear regression model." Reaearch Report 8907,Department of Economics,University of Western Ontario,Canada.19. (1989)

    • Related Report
      1989 Annual Research Report
  • [Publications] Y.FUJIKOSHI: "Tests for redundancy of some variables in multivariate analysis.In Recent" in “Recent Developments in Statistical Data Analysis and Inference",Y.Dodge.ed.Elesevier Science Publishers B.V.,Amsterdam. (1989)

    • Related Report
      1989 Annual Research Report
  • [Publications] M.TANIGUCHI: "An identification problem for moving average models." Journal of the Japan Statistical Society. 19. 145-149 (1989)

    • Related Report
      1989 Annual Research Report
  • [Publications] 小滝光博: "多変量時系列モデルにおけるco-integrationno定式化と統計的推測" 広島大学経済論叢. 13(1). 45-62 (1989)

    • Related Report
      1989 Annual Research Report
  • [Publications] 岡本雅典: 広島大学経済論叢. 11. 1-15 (1988)

    • Related Report
      1988 Annual Research Report
  • [Publications] 木村滋: 広島大学経済論叢. 12. 1-31 (1988)

    • Related Report
      1988 Annual Research Report
  • [Publications] 小瀧光博: 広島大学経済論叢. 12. 59-77 (1988)

    • Related Report
      1988 Annual Research Report
  • [Publications] 前川功一: 広島大学経済論叢. 12. 33-50 (1988)

    • Related Report
      1988 Annual Research Report
  • [Publications] Y.Fujikoshi、: Jouranl of Multivariate Analysis. 26. 48-58 (1988)

    • Related Report
      1988 Annual Research Report
  • [Publications] M.Taniguchi、: Journal of Multivariate Analysis. 27. 494-511 (1988)

    • Related Report
      1988 Annual Research Report

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Published: 1988-04-01   Modified: 2016-04-21  

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