| Project/Area Number |
06451103
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | HIROSHIMA UNIVERSITY |
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Principal Investigator |
MAEKAWA Koichi Hiroshima University, Faculty of Economics, Professor, 経済学部, 教授 (20033748)
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| Co-Investigator(Kenkyū-buntansha) |
ODAKI Mitsuhiro Hiroshima University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (00194564)
YANO Junnji Hiroshima University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (40210306)
TSUBAKI Yasukazu Hiroshima University, Faculty of Economics, Associate Professor, 経済学部, 助教授 (70144805)
GINAMA Isamu Hiroshima University, Faculty of Economics, Professor, 経済学部, 教授 (30127758)
KITAOKA Takayoshi Hiroshima University, Faculty of Economics, Professor, 経済学部, 教授 (60116572)
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| Project Period (FY) |
1994 – 1996
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| Keywords | unit root / cointegration / periodically integration / bootstrap / financial time series / ARCH model / Economic database / macroeconomic time series |
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| Research Abstract |
Over the period of 1994-96 we investigated problems of economic time series associated with integrated and co-integrated time series. Outcomes of our research is classified into the following categories :
(1) Theoretical research
・New methods of unit root test (1,2 by K.Maekawa and H,Hisamatsu)
・Asymptotic inference on a regression model with I(1) regressor (3,4 by K.Maekawa)
・Asymptotic inference on SUR model with non-normal errors (6 by K.Maekawa)
・Re-examination of Johansen's test of co-integration (15 by M.Odaki)
・Bootstrap method for time series analysis(16,17 by J.Fukuchi)
(2) Applied research
・Applications of co-integration test to financial time series (7,8 by T.Kitaoka)
・Applications of ARCH and co-integration models to inventory investment (9,10 by I.Ginama)
・Empirical macroeconomics based on time series data (13,14 by J.Yano)
(3) Research on database
・Data base of economic time series (11,12 by Y.Tsubaki)
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