Nonlinear and nonstationary models in econometric analysis

计量经济分析中的非线性和非平稳模型

• 批准号: 08630023
• 负责人: YAJIMA Yoshihiro
• 金额: $ 1.15万
• 依托单位: University of Tokyo
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1996
• 资助国家: 日本
• 起止时间: 1996 至 1997
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-08630023/
• 关键词: nonstationary model; long-memory model; seasonal adjustment method; nonlinear model; missing observations; autoregressive model; sample autocorrelation; 単位根検定; 転換時系列モデル

Yajima investigated an effect of missing observations on estimation of nonstationary unit root processes and stationary long memory models.He considered the two estimations for unit root processe. The first one is a Yule-Walker type estimator and the second one is a least-squares type estimator.He derived the limiting distributions of these estimators. Next he introduced the third estimator, a sample-correlation coefficient estimator. Then he clarified their asymptotic difference if we apply them to estimate the autocorrelation function of both short-memory and long-memory stationary models.Kunitomo considered X-11-ARIMA,a seasonal adjustment method which has been recently developed by Bureau of Census, Department of Commerce in U.S.A.He clarified its theoretical properties and topics which should be solved in future. He also proved the limiting distribution of the maximum likelihood estimator of a simultaneous switching autoregressive model proposed by himself.

Yajima研究了缺失观测值对非平稳单位根过程和平稳长记忆模型估计的影响，考虑了单位根过程的两种估计。第一个是Yule-Walker型估计量，第二个是最小二乘型估计量，他导出了这些估计量的极限分布。接下来，他介绍了第三个估计，样本相关系数估计。然后，他阐明了如果我们将它们应用于估计短记忆和长记忆平稳模型的自相关函数，它们的渐进差异。Kunitomo考虑了美国商务部人口普查局最近开发的季节调整方法X-11-ARIMA，他阐明了其理论性质和未来应解决的课题。他还证明了自己提出的同时切换自回归模型的极大似然估计的极限分布。

项目成果

Haruhisa Nishino and Yoshihiro Yajima: "On parameter estimation of unit root processes with missing observations" Discussion paper, Faculty of Economics University of Tokyo. F-19. 1-39 (1996)

Haruhisa Nishino 和 Yoshihiro Yajima：“关于缺失观测值的单位根过程的参数估计”讨论论文，东京大学经济学院。

西埜 晴久(第一著者) 矢島美寛(第二著者): "Onestimation of stationary and nonstationary processes with missing observations." 統計数理研究所共同研究リポート・時系列解析の理論と応用. 90. 45-56 (1996)

Haruhisa Nishino（第一作者），Yoshihiro Yajima（第二作者）：“观测值缺失的平稳和非平稳过程的一次刺激。”统计数学研究所联合研究报告：时间序列分析的理论与应用（1996）。 ）

Nishino Haruhisa, Yajima Yoshihiro: "On parameter estimation of unit root processes with missing observations" Discussion Paper FacuIty of Economics University of Tokyo. F-19. 1-39 (1996)

Nishino Haruhisa、Yajima Yoshihiro：“关于缺失观测值的单位根过程的参数估计”东京经济大学讨论论文。

Kunitomo Naoto: "On estimation of the simaItaneous switching autoregressive modeIc" Discussion Paper FacuIty of Economics University of Tokyo. F-31. 1-18 (1997)

Kunitomo Naoto：“关于同步切换自回归模型的估计”东京经济大学讨论论文。

Nishino Haruhisa Yoshihiro Yajima: "On parametr estimation of unit routprocesses with missing observations" Discussion paper,Faculty of Economics University of Tokyo. F-19. 1-39 (1996)

Nishino Haruhisa Yoshihiro Yajima：“关于缺失观测值的单元路由过程的参数估计”讨论论文，东京经济大学学院。