Study on long-range dependence and conditional heteroscedasticity in economic time-series

经济时间序列中的长程相关性和条件异方差性研究

• 批准号: 11630025
• 负责人: HOSOYA Yuzo
• 金额: $ 2.3万
• 依托单位: Tohoku University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1999
• 资助国家: 日本
• 起止时间: 1999 至 2000
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-11630025/
• 关键词: time-series analysis; long-range dependence; conditional heteroscedasticity; Whittle likelihood; fractional Brownian motion; cointegration rank test; 経済時系列; 擬似尤度; 共和分過程; 中心極限定理; 検定統計量; 条件付き非定常性; 経済時系より; 高次キュミュラント; フーリエ変換; 統計的推測

This study has developed an approach to statistical analysis of a variety of characteristics non-stationary, long-range dependent multivariate time-series processes. In particular, the study showed the Whittle likelihood method enables a cointegrated-analysis of a wide range of time-series data, comparing of this study conventional studies in the related literature. In this study we established a functional central limit theorem for conditional heteroscedestic stationary time-series. By means of this theorem, various test statistics are shown to perform asymptotically as functional of fractional Brownian motion. That limit theory is essential for cointegrated rank test. This result is to be reported at the Japan-U.S.joint seminar, which is held in Kyoto in June 2001. Moreover, the study produced computer algorithms for the cointegraion rank test in the presence of trend breaks and also for analyzing partial causal measure. The former extends the Johansen test and the latter provides a method to deal with feedback distortion due to the presence of a third series.

这项研究开发了一种对各种特征非平稳、长期依赖的多元时间序列过程进行统计分析的方法。特别是，该研究表明，Whittle 似然法可以对广泛的时间序列数据进行协整分析，并将本研究与相关文献中的常规研究进行比较。在本研究中，我们建立了条件异方差平稳时间序列的函数中心极限定理。通过该定理，各种检验统计量被证明渐近地表现为分数布朗运动的函数。该极限理论对于协整秩检验至关重要。这一结果将在 2001 年 6 月在京都举行的日美联合研讨会上报告。此外，该研究还开发了用于在存在趋势突破的情况下进行协整等级检验以及分析部分因果测量的计算机算法。前者扩展了 Johansen 测试，后者提供了一种处理由于第三个系列的存在而导致的反馈失真的方法。

项目成果

Yuzo Hosoya and Taro Takimoto: "Testing the cointegration rank in the presence of trend breaks"研究年報「経済学」(東北大学). 61. 79-99 (2000)

Yuzo Hosoya 和 Taro Takimoto：“在趋势突破的情况下测试协整等级”年度研究报告“经济学”（东北大学）61. 79-99 (2000)。

Yuzo Hosoya and Taro Takimoto: "Testing the Cointegration Rank in the presence of Trend Breaks"研究年報「経済学」(東北大学). 61号4巻. 79-99 (2000)

Yuzo Hosoya 和 Taro Takimoto：“在趋势突破的情况下测试协整等级”研究年度报告“经济学”（东北大学）第 61 期，第 4 卷。79-99（2000 年）。