Fractional Integration, Power Laws and Econometric Models: Some Methodological and Theoretical Developments

分数阶积分、幂律和计量经济模型：一些方法论和理论的发展

• 批准号: DP0452717
• 负责人: Prof Donald Poskitt
• 金额: $ 8.36万
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2004
• 资助国家: 澳大利亚
• 起止时间: 2004-01-01 至 2006-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0452717
• 关键词: Fractional; Integration; Power; Laws; Econometric

The fundamental objectives of this project are to: (i) Extend current econometric practice and consider the use of power laws as a basis for the construction of a more flexible and realistic class of models for the analysis of economic and financial time series. (ii) To develop inferential techniques appropriate for the modelling of dynamic econometric systems that incorporate structure characterized by power laws. This will be achieved by building upon the class of fractionally integrated processes. New econometric models and methodologies for the analysis of non-stationarity series will be developed, along with the associated theoretical results.

该项目的基本目标是： 当前的计量经济学实践，并考虑使用幂律作为 一个基础的建设更加灵活和现实 经济和金融时间分析的一类模型 系列. (ii)开发适合于 动态计量经济系统的建模， 以幂律为特征的结构。为实现这些目标将 建立在分数积分过程的基础上。新 经济计量模型和方法 非平稳系列将被开发，沿着， 相关理论成果。