2013 Fiscal Year Final Research Report
Inference on nonstationary long memory models
| Project/Area Number |
24730194
|
|---|
| Research Category |
Grant-in-Aid for Young Scientists (B)
|
| Allocation Type | Multi-year Fund |
|---|
| Research Field |
Economic statistics
|
|---|
| Research Institution | University of Hyogo (2013)
Waseda University (2012) |
|---|
Principal Investigator |
|
|---|
| Project Period (FY) |
2012-04-01 – 2014-03-31
|
| Keywords | 経済統計学 / 時系列分析 |
|---|
| Research Abstract |
I consider two tests: (1) a test of long memory versus spurious long memory, and (2) a diagnostic test for fractional cointegration. These are applicable to not only stationary long memory but also some nonstationary series. In (1), I propose a test statistics, derive its limiting distribution and show that the test is consistent. Simulations show that it has good power in some cases. The test is applied to forward discount rates. In (2), I confirm that the test is more powerful than the existing one via simulations, when the integration orders are known.
|
Research Products
(2 results)
