Statistical Inference for causal measures of long-memory cointegrated tme-series

长记忆协整时间序列因果测量的统计推断

• 批准号: 13630025
• 负责人: HOSOYA Yuso
• 金额: $ 2.11万
• 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: 2001
• 资助国家: 日本
• 起止时间: 2001 至 2002
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-13630025/
• 关键词: causal measures; cointegration; statistical Inference; nonstationary time series; long-range dependence; Whittle likelihood; likelihood ratio test; 非定常; 漸近理論; 経済時系列; ランク検定; 最大法

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.

为了扩展作者开发的经济时间序列之间因果测度的适用性，2001年2月的研究通过开发基于削似然函数的可行的估计和检验计算算法，使非平稳长程相关协整序列上因果测度的统计推断成为可能。特别是，该研究给出了一组弱条件下分数布朗运动的极限定理，并在此定理的基础上推导了最大Whittle似然估计量和Whittle似然比统计量的极限理论。这些结果使得迄今为止已知的传统单位根协整计量经济学分析得以扩展。在研究中，开发了一种用于统计推断的统一计算算法，并针对日本和美国的宏观经济数据检查了系统的性能。该算法基本上是改进的 Hannan-Rissanen 三步法，在第三步中使用 Whittle 似然函数，并且比他们的方法有所改进。

项目成果

Yuzo Hosoya: "Elimination of thrird-seves effect and Defining Partial Measvbes of Causality"Journal of Time Series Analysis. Vol.22,No.5. 537-554 (2001)

Yuzo Hosoya：“消除三级效应并定义因果关系的部分测量”时间序列分析杂志。

YUZO HOSOYA: "An asymptotic theory for inference on general unit-root cointegration"Annual Report of the Economic Society, Tohoku University. vol.64,no.3. 37-55 (2003)

YUZO HOSOYA：“一般单位根协整推理的渐近理论”东北大学经济学会年度报告。

Yuzo Hosoya: "Elimination of third-series effects and defining partial measures of causality"Journal of Time Series Analysis. Vol.22. 537-554 (2001)

Yuzo Hosoya：“消除第三系列效应并定义因果关系的部分度量”时间序列分析杂志。

Yuzo Hosoya: "Statistical Evidence and its Interpretations ―enlarged edition"Makino Publishing Company. 206 (2002)

细谷雄三：“统计证据及其解释——扩大版”牧野出版公司206（2002）。

Yuzo Hosoya: "An asymptotic theory for inference on general unit-root cointegration"Annual Report of the Economic Society, Tohoku University. Vol.64. 37-55 (2003)

细谷雄三：“一般单位根协整推理的渐近理论”东北大学经济学会年报。