2013 Fiscal Year Final Research Report
Statistical inference of economic time series analysis and its applications
| Project/Area Number |
22730180
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | Kyushu University |
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Principal Investigator |
TAKIMOTO Taro 九州大学, 経済学研究科(研究院), 准教授 (70403996)
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| Project Period (FY) |
2010-04-01 – 2014-03-31
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| Keywords | 時系列分析 / 因果性 |
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| Research Abstract |
The research project provides a computationally feasible approach to estimate and test causal measures among time series data in the presence of the third series and examines the finite sample performance of the test statistics for causal measures. Furthermore, it proposes two kinds of test statistics, which depend on the setting of the null hypothesis. By using Monte Carlo simulation, under the condition that the data generated process includes the third series, when we estimate the model without the third series, the estimated causal measures would be different from the true causal measures.
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