2006 Fiscal Year Final Research Report Summary
Statistical Estimation and Testing for Partial Causal Measures in Multivariate Economic Time Series
| Project/Area Number |
17530160
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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 | Meisei University (2006)
Tohoku University (2005) |
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Principal Investigator |
HOSOYA Yuzo Meisei University, Department of Economics, Professor, 経済学部, 教授 (40004197)
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| Project Period (FY) |
2005 – 2006
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| Keywords | causal relations / causal measures / multivariate time series / economic time series / macroeconomics / Whittle estimators / Wald test / frequency domain analysis |
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| Research Abstract |
In the literature of time-series causal analysis, research workers have proposed a variety of third -series effect elimination method in the presence of such a series. In this research of the year 2006, I dealt with the problems of specification of time-series models, estimation and testing of one-way causal measures and developing feasible computational algorithm for statistical inference and application to real economic time-series data sets in order to characterize quantitatively and more precisely the dependency between a pair of time series in the presence of a third series. Those partial causal measures are estimated based on such a specific model as the cointegrated ARMA model and the research focused on numerical method of estimating and testing the cointegrated ARMA under the precise conditions of a specified rank condition and the research was able to produce a feasible procedure. The partial causal measures requires a canonical factorization method of ARMA spectral densities in the in the process of evaluating the measures. The research of this year could develop a numerical procedure for spectral factorization which is an essential step in deriving the partial measures and hence this made feasible the whole project of statistical inference on the partial measures.
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