Unitroot and Coibtegration in econonetrics
Project/Area Number  05630013 
Research Category 
GrantinAid for Scientific Research (C).

Research Field 
Economic statistics

Research Institution  KYOTO UNIVERSITY 
Principal Investigator 
MORIMUNE Kimio Kyoto Univ.Instituye of economic Research professor, 経済研究所, 教授 (20109078)

Project Fiscal Year 
1993 – 1994

Project Status 
Completed(Fiscal Year 1994)

Budget Amount *help 
¥1,600,000 (Direct Cost : ¥1,600,000)
Fiscal Year 1994 : ¥700,000 (Direct Cost : ¥700,000)
Fiscal Year 1993 : ¥900,000 (Direct Cost : ¥900,000)

Keywords  simultaneous equation / cointegration / unit root / random walk / error correction model / voctor autoregression / 同時方程式 / 共和分 / 単位根 / ランダムウォーク / 誤差修正モデル / ベクトル自己回帰 / ランダム ウォーク 
Research Abstract 
We apply the nonstationary test of the Granger causality between the Japanese money supply and GNP in this paper. The unit root techniques and the cointegration analysis have grown rapidly in econometrics in the last ten years, and the nonstationary test for Granger causality is developed. We shed new lights on the money income causality using the nonstationary techniques. We firstly specify the univariate ARMA models of the money, income, GNP deflator, and the rate of interest using the Dickey and Fuller (DF) or the augmented DF (ADF) tests. Two diagnostic tests are applied to each selected ARMA regression. One is the residual DF test, and the other is the MA unit root test of residuals. After the ARMA model selection, the VAR regression is estimated with cointegrated relation using Johansen's maximum likelihood method. In this estimation, the lag length of each variable is taken to be different from each other which are kept the same in Johansen. The two causality tests are applied to the VAR one of which is the maximum likeliood and the other is the OLS method. It is found out that the income is causing money but not the opposite. Further analyzes of the causality are performed using various lag lengths in VAR but keeping the same lag length for all variables. The income to money causality is found again. The causality is examined for the shorter sample periods which are used by Oritani (1979) . There, the money is found to be nonstationary but the income is stationary. The Granger test is modified to the VAR which includes both stationary and nonstationary variables. The Granger test resulted in the income to money causality, not in the money to income causality. Comments follow on the filter used by Sims (1972) .

Report
(4results)
Research Output
(27results)