• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to project page

1997 Fiscal Year Final Research Report Summary

Cointegration analysis of the vector moving average process

Research Project

Project/Area Number 07630023
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionKYOTO UNIVERSITY

Principal Investigator

MORIMUNE Kimio  KYOTO UNIVERSITY Instite of Economic Research, Professor, 経済研究所, 教授 (20109078)

Project Period (FY) 1995 – 1997
KeywordsCointegration / Unit root / Macro economics / Causality / Structural change
Research Abstract

The unit root test for the vector moving average process is studied in this research. We apply the non-stationary test of the Granger causality between the Japanese money supply and GNP in this paper. The unit root techniques and the co-integration analysis have grown rapidly in econometrics in the last ten years, and the non-stationary test for Granger causality is developed. We shed new lights on the money income causality using the non-stationary techniques.
We firstly specify the uni-variate ARMA models of the money, income, GNP deflator, and the rate of interest using the Dickey and Fuller (DF) or the augmented DF (ADF) tests. Two diagnostic tests are applied to each selected ARMA regression. One is the residual DF test, and the other is the MA unit root test of residuals. After the ARMA model selection, the VAR regression is estimated with co-integrated relation using Johansen's maximum likelihood method. In this estimation, the lag length of each variable is taken to be different from each other which are kept the same in Johansen. The two causality tests are applied to the VAR one of which is the maximum likelihood and the other is the OLS method. It is found out that the income is causing money but not the opposite. Further analyzes of the causality are performed using various lag lengths in VAR but keeping the same lag length for all variables. The income to money causality is found again.
The causality is examined for the shorter sample periods which are used by Oritani (1979) . There, the money is found to be non-stationary but the income is stationary. The Granger test is modified to the VAR which includes both stationary and non-stationary variables. The Granger test resulted in the income to money causality, not in the money to income causality. Comments follow on the filter used by Sims (1972) .

  • Research Products

    (16 results)

All Other

All Publications (16 results)

  • [Publications] 森棟 公夫: "Limited Information Estimation and Testing Subject to Linear Constraints" Journal of Statistical Planning and Inference. 50. 223-240 (1996)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森棟 公夫: "ARMA and ARIMA Approaches to the Unit Root Analysis of Macro Economic Variables" Journal of the Japan Statistical Society. 27. 1-18 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森棟 公夫: "Non-Stationary Analysis of the Japanese Money Demand Function" Journal of Economic Research. 2. 1-29 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森棟 公夫: "The Unit Root Analysis of the Causality Between Japanese Money and Income" Japanese Economic Review. 48. 343-367 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森棟 公夫: "ARIMA Approach to the Unit Root Analysis of Macro Economic Time Series" Mathematics and Computers in Simulation. 43. 395-403 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森棟 公夫: "Switching Orthogonality" International Economic Review. 39. 171-182 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森棟 公夫・刈屋 武昭: "リスク管理と金融投資戦略" 東洋経済新報社, 214 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 森棟 公夫・刈屋 武昭: "金融・証券投資戦略の新展開" 東洋経済新報社, 176 (1995)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Kosuke Oya: ""Limited Information Estimation and Testing Subject to Linear Constraints"" Journal of Statistical Planning and Inference. Vol.50. 223-240 (1996)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Kenji Miyazaki: ""ARMA and ARIMA Approaches to the Unit Root Analyzes of Macro Economic Variables"" Journal of the Japanese Statisicsl Society. Vol.27. 1-18 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Guo Qing Zhao: ""Non-Stationary Analysis of the Japanese Money Demand Function"" Journal of Economic Research. Vol.2, No.2. 1-29 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Guo Qing Zhao: ""Unit Root Analyzes of the Causality between Japanese Money and Income"" Japanese Economic Review. Vol.48, No.4. 343-367 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Keniji Miyazaki: ""ARIMA Approach to the Unit Root Analyzes of Macro Economic Time Series"" Mathematics and Computers in Simulation. Vol.43. 395-403 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Michael McAleer: ""Switching Orthogonality"" International Economic Review. Vol.39, No.1. 171-182 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Mitsuru Nakagawa: ""Unit Root Tests which Allow for Multiple Trend Breaks"" (submitted to a journal.).

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Mitsuru Nakagawa: ""The Trend-Break Unit Root Test When the Break Point is Misspecified"" Mathematics and Computers in Simulation. (forthcoming.).

    • Description
      「研究成果報告書概要(欧文)」より

URL: 

Published: 1999-03-16  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi