2014 Fiscal Year Final Research Report
Smoothing Techniques and Their Implementations in Time Series Econometrics
| Project/Area Number |
23530259
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | Setsunan University |
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Principal Investigator |
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| Project Period (FY) |
2011-04-28 – 2015-03-31
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| Keywords | ノンパラメトリック計量経済学 / 時系列計量経済学 / カーネル平滑化 / 非対称カーネル関数 / 拡散過程推定 / 共和分 |
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| Outline of Final Research Achievements |
In this research project I developed and extended kernel-smoothing techniques, taking properties of economic data into account. The properties of the data on which I focused are as follows. First, distributions of many economic variables have a natural boundary at the origin. In addition, the distributions have many observations concentrated near the boundary, whereas they also possess a long tail with sparse data. Second, economic time series are often assumed to obey unit-root processes. Nonetheless, it is often the case that no stationary transformations are made when they enter the model. I attempted to develop and improve asymmetric kernel functions for the former, and I specialized in extending kernel-smoothed nonparametric and semiparametric estimation techniques of cointegrating regression models for the latter. The research results in four papers published in refereed journals and nineteen presentations at various domestic and overseas conferences and seminars.
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| Free Research Field |
計量経済学、統計学
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