Analysis of the long-run and one-way causality between macroeconomic index

在本项目中，我们取得了以下成果：1.成功地将作者在SX4超级计算机上编写的程序代码移植到了PC机上。基于协整时间序列模型，给出了单向效应度量在时间域和频域的计算算法。明确了长期单向效应和短期(局部)单向效应的计算算法。此外，我们还基于Pro Fortran开发了必要的计算程序。将单向因果度量方法应用于基于PC机的高频金融时间序列的分析，明确了算法。5.利用互联网上实时发布的数据，特别是中文金融市场数据，解决了将数据库文件转换为文本格式的问题。通过这种方式，我们更新了我们的美国、日本和中国的时间序列数据库。6.为了实施本项目，我们在国内外会议上报告了我们的研究成果，并进行了国外的研究。7.在这三年的时间里，我们发表了5篇研究论文，并在会议上报告了4次。一些新的结果将在2006年7月9日至12日在北京清华大学举行的计量学会2006年远东会议上公布，中国。

In term of the project, we get the following results.1.Succeeded in transferred the program code written by the author at supper computer SX4 to personal computer (PC). Based on PC, we developed some programs by witch the calculation of one-way causal measures can be easily conducted.2.Based on cointegrated time series model, we showed the calculation algorithm of the one-way effect measures at time domain and at frequency domain. The proposed new method can contributed to reduce the cost of simulation.3.The calculation algorithms of long-run and short-run (local) one-way effects are made clearly. In addition, we developed the necessary calculation program based on Pro Fortran. By the use of these programs, it is possible to investigate the complex causal relationships in details.4.To apply the approach of one-way effect causal measures to the analysis of high frequency financial time series based on PC, the algorithm is made cleared5.To make use of the timely data published at internet, especially Chinese financial and market data, the way of transforming the date base file to text format is made cleared. By this way, we renew our time series data base of America and Japan as well as China.6.To conduct the project, we reported our research results at internal and international conferences and also have had made oversea researches.7.In this three years period, we published 5 research papers and reported 4 times at conference. Some of the new results will be reported at the 2006 Far Eastern Meeting of the Econometric Society which will be held in Tsinghua University, Beijing, China, on July 9-12, 2006.