2002 Fiscal Year Final Research Report Summary
Statistical Inference for causal measures of long-memory cointegrated tme-series
| Project/Area Number |
13630025
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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 | Tohoku University |
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Principal Investigator |
HOSOYA Yuso Tohoku University, Graduate School of Economics and Management, Professor, 大学院・経済学研究科, 教授 (40004197)
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| Project Period (FY) |
2001 – 2002
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| Keywords | causal measures / cointegration / statistical Inference / nonstationary time series / long-range dependence / Whittle likelihood / likelihood ratio test |
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| Research Abstract |
In order to extend the applicability of the causal measures between economic time series the author developed, the research of 2001-2 made possible the statistical inference for causal measures on non-stationary long-range dependent cointegrated tome-series by developing feasible computational algorithm of estimating and testing for that purpose based on the whittle likelihood function. In particular, the research gave a limiting theorem of fractional Brownian motion under a set of weak conditions and on the basis of that theorem derived the limiting theory of the maximum Whittle likelihood estimator and the Whittle likelihood-ratio statistic. Those results enable extension of the conventional unit-root cointegration econometric analysis so far known. In the research a unified computation algorithm was developed for the statistical inference and the performance of the system was examined for Japan and U.S. macro economic data. The algorithm is basically a modified Hannan-Rissanen three-step method, using the Whittle likelihood function in the third step and is shown improvement over their method.
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Research Products
(6 results)
