2000 Fiscal Year Final Research Report Summary
Study on long-range dependence and conditional heteroscedasticity in economic time-series
| Project/Area Number |
11630025
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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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 | Tohoku University |
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Principal Investigator |
HOSOYA Yuzo Graduate School of Economics, and Management, Tohoku University, Professor, 大学院・経済学研究科, 教授 (40004197)
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| Project Period (FY) |
1999 – 2000
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| Keywords | time-series analysis / long-range dependence / conditional heteroscedasticity / Whittle likelihood / fractional Brownian motion / cointegration rank test |
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| Research Abstract |
This study has developed an approach to statistical analysis of a variety of characteristics non-stationary, long-range dependent multivariate time-series processes. In particular, the study showed the Whittle likelihood method enables a cointegrated-analysis of a wide range of time-series data, comparing of this study conventional studies in the related literature. In this study we established a functional central limit theorem for conditional heteroscedestic stationary time-series. By means of this theorem, various test statistics are shown to perform asymptotically as functional of fractional Brownian motion. That limit theory is essential for cointegrated rank test. This result is to be reported at the Japan-U.S.joint seminar, which is held in Kyoto in June 2001. Moreover, the study produced computer algorithms for the cointegraion rank test in the presence of trend breaks and also for analyzing partial causal measure. The former extends the Johansen test and the latter provides a method to deal with feedback distortion due to the presence of a third series.
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Research Products
(2 results)
