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2004 Fiscal Year Final Research Report Summary

A study of Ihigher-ooder moment long-range dependence in economic time-series

Research Project

Project/Area Number 15530136
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionTohoku University

Principal Investigator

HOSOYA Yuzo  Tohoku University, Graduate School of Economics and Management, Professor, 大学院・経済学研究科, 教授 (40004197)

Project Period (FY) 2003 – 2004
Keywordslong-range dependency / conditional heteroscedasticity / higher-order cumulant / cumulant spectrum / cointeration / statistical asymptotic theory / Whittle likelihood
Research Abstract

In the 2003-2004 research, a basic theoretical framework was developed to deal with statistical inference on higher-order moment dependency of stationary time-series data and also developed a set of algorithm for numerical computation. The approach for this purpose is to apply statistical inference theory of second-order multivariate stationary processes to the joint process consisting of the series in question and its squared series. By this method, we are able to model the second, third and fourth-order serial dependency. In order to accommodate long-range dependency, the Whittle likelihood in the frequency-domain representation is appropriate. The asymptotic estimation and testing theory of the Whittle likelihood is applicable under suitable modification. To deal with nonlinear multivariate processes of long range dependency, this research investigated the fractional cointegrated model which extends the Johansen's unit-root cointegration model and its properties. Also a version of functional central limit theorem was established on type 2 fractional Brown motion and the asymptotic distribution of the Whttle likelihood ratio statistic for the cointegration rank was derived. Higher-order moment dependency is closely related to non-Gaussianity of a process in concern. Another approach to deal with such non-Gaussianity is to transform nonlinearly the process. For that purpose, a model of modified Box-Cox transformation ARMA is investigated in this research and an asymptotic theory is developed.

  • Research Products

    (6 results)

All 2005 2004

All Journal Article (6 results)

  • [Journal Article] Fractional Invariance Principle2005

    • Author(s)
      Hosoya, Y.
    • Journal Title

      Journal of Time Series Analysis Vol.26,No.3

      Pages: 463-486

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Testing the One-Way Effect in the Presence of Trend Breaks2005

    • Author(s)
      Hosoya, Y., Yao, F., Takimoto, T.
    • Journal Title

      The Japanese Economic Review Vol.56,No.1

      Pages: 107-126

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Fractional Invariance Principle and Fractional Cointegration Asymptotics2005

    • Author(s)
      Hosoya, Y.
    • Journal Title

      研究年報経済学 Vol.66,No.4(掲載予定)

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Testing the One-Way Effect in the Presence of Trend Breaks.2005

    • Author(s)
      Hosoya, Y., Yao, F., Takimoto, T.
    • Journal Title

      The Japanese Economic Review Vol.56,No.1

      Pages: 107-126

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Fractional Invariance Principle and Fractional Cointegration Asymptotics2005

    • Author(s)
      Hosoya, Y.
    • Journal Title

      Annual Report of the Economic Society Vol.66,No.4

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] A Three-Step Procedure for Estimating and Testing Cointegrated ARMAX Models2004

    • Author(s)
      Takimoto, T., Hosoya, Y.
    • Journal Title

      The Japanese Economic Review Vol.55,No.4

      Pages: 418-450

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

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Published: 2006-07-11  

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