Econometric analysis of nonlinear and nonstationary relationships : inference and computational methods 非線形非定常時系列モデルの計量経済分析 : 推測と計算法

この論文をさがす

著者

    • 姚, 峰 Yao, Feng

書誌事項

タイトル

Econometric analysis of nonlinear and nonstationary relationships : inference and computational methods

タイトル別名

非線形非定常時系列モデルの計量経済分析 : 推測と計算法

著者名

姚, 峰

著者別名

Yao, Feng

学位授与大学

東北大学

取得学位

博士 (経済学)

学位授与番号

甲第5457号

学位授与年月日

1996-03-26

注記・抄録

博士論文

目次

  1. CONTENTS / p1 (0003.jp2)
  2. Preface / p3 (0005.jp2)
  3. Chapter1.Introduction / p1 (0007.jp2)
  4. Chapter2.An Overview of Causality Analysis / p9 (0015.jp2)
  5. 2.1 The Granger Condition for Non-causality / p10 (0016.jp2)
  6. 2.2 Geweke's Causal Measures and other Statistical Tests / p14 (0020.jp2)
  7. Chapter3.Hosoya's Causal Measures for Stationary Process / p19 (0025.jp2)
  8. 3.1 The Measure of One-way Effect / p20 (0026.jp2)
  9. 3.2 The Measures of Association and Reciprocity / p27 (0033.jp2)
  10. Chapter4.Cointegration Vectors and Statistical Tests / p31 (0037.jp2)
  11. 4.1 Nonstationary VAR Model and the Error Correction Model / p34 (0040.jp2)
  12. 4.2 Statistical Analysis of Cointegrated Vectors / p38 (0044.jp2)
  13. Chapter5.Causality Analysis of Cointegrated ARMA Model / p42 (0048.jp2)
  14. 5.1 Some Basic Results for the Inference of ARMA Model / p43 (0049.jp2)
  15. 5.2 Hosoya's Causal Measures for Cointegrated ARMA Model / p46 (0052.jp2)
  16. Chapter6.Empirical Analyses of Some Japanese Macroeconomic Data / p51 (0057.jp2)
  17. 6.1 Empirical Analysis of Cointegrated Relationships / p52 (0058.jp2)
  18. 6.2 Empirical Analysis of Causal Relationships / p63 (0069.jp2)
  19. Chapter7.BCT Model and Estimation of Risk / p84 (0090.jp2)
  20. 7.1 The Box-Cox Transformation / p84 (0090.jp2)
  21. 7.2 Estimation of Cross-entropy Risk and the GIC / p87 (0093.jp2)
  22. Chapter8.Identification Methods for Non-Gaussian Process / p93 (0099.jp2)
  23. 8.1 Inference of the GIC for BCT Model / p93 (0099.jp2)
  24. 8.2 The Nested χ²Test for BCT Model / p99 (0105.jp2)
  25. Chapter9.Numerical Evaluation of GIC and AIC / p102 (0108.jp2)
  26. 9.1 Simulation Models / p103 (0109.jp2)
  27. 9.2 Monte Carlo Experiments by GIC and MLE / p104 (0110.jp2)
  28. 9.3 Comparison of the GIC and the AIC / p111 (0117.jp2)
  29. Chapter10.Information Criteria and Nested χ²Test / p118 (0124.jp2)
  30. 10.1 Comparison of Nested χ²Test with GIC and AIC / p119 (0125.jp2)
  31. 10.2 A Mixed Statistics for BCT Model / p123 (0129.jp2)
  32. 10.3 Some Empirical Examples / p127 (0133.jp2)
  33. Appendices:The Algorithm for Information Criteria and the Nested χ²Test / p135 (0141.jp2)
  34. Appendix A:The Program PMRMM92 / p135 (0141.jp2)
  35. Appendix B:The Program PBMGM92 / p147 (0153.jp2)
  36. Appendix C:The Program PBMAM192 / p156 (0162.jp2)
  37. Appendix D:The Program PBMAM292 / p168 (0174.jp2)
  38. Appendix E:The Program NEST94 / p174 (0180.jp2)
  39. Bibliography / p180 (0186.jp2)
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各種コード

  • NII論文ID(NAID)
    500000134707
  • NII著者ID(NRID)
    • 8000000973797
  • DOI(NDL)
  • NDL書誌ID
    • 000000299021
  • データ提供元
    • NDL-OPAC
    • NDLデジタルコレクション
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