The studies of causality analysis of statistical time series and the theory of statistical inference in econometrics : partial causality, simultaneous test and conditionality estimation 統計的時系列の因果関係分析と計量経済学における統計的推測理論の研究 : 偏因果性、同時検定及び条件性推定
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Bibliographic Information
- Title
-
The studies of causality analysis of statistical time series and the theory of statistical inference in econometrics : partial causality, simultaneous test and conditionality estimation
- Other Title
-
統計的時系列の因果関係分析と計量経済学における統計的推測理論の研究 : 偏因果性、同時検定及び条件性推定
- Author
-
照井, 伸彦, 1958-
- Author(Another name)
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テルイ, ノブヒコ
- University
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東北大学
- Types of degree
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経済学博士
- Grant ID
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甲第4293号
- Degree year
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1990-11-15
Note and Description
博士論文
Table of Contents
- CONTENTS / p1 (0005.jp2)
- Preface and Summary / p3 (0007.jp2)
- I. Causality Analysis of Economic Time Series / p7 (0011.jp2)
- Chapter 1. The Concept of Causality / p8 (0012.jp2)
- 1.1 Definition of Causality / p8 (0012.jp2)
- 1.2 Some Properties of Causality / p11 (0015.jp2)
- Chapter 2. Statistical Tests on Causality / p12 (0016.jp2)
- 2.1 Statistical Tests in the Time Domain / p12 (0016.jp2)
- 2.1 Causal Relationship between Money, Income and Interest Rate / p18 (0022.jp2)
- Chapter 3. Causality in the Frequency Domain / p19 (0023.jp2)
- 3.1 Causality Measures in the Frequency Domain / p19 (0023.jp2)
- 3.2 A relationship between Causality Measures / p22 (0026.jp2)
- Chapter 4. Partial Causality in Multivariate Stationary Time Series / p24 (0028.jp2)
- 4.1 Causality Analysis Between Three Variables / p24 (0028.jp2)
- 4.2 Model, Assumptions and Definition / p26 (0030.jp2)
- 4.3 The Relationship Between the Original System and the Partial Causality System / p29 (0033.jp2)
- 4.4 Distributed Lag Representation for Partial Causality / p36 (0040.jp2)
- 4.5 Spurious, Indirect Causality and Partial Causality / p38 (0042.jp2)
- Chapter 5. Examples of Application of Partial Causality / p43 (0047.jp2)
- Appendix, Figures and Tables / p48 (0052.jp2)
- II. Simultaneous Tests for Nested Statistical Models / p53 (0057.jp2)
- Chapter 6. A Large Sample Simultaneous Test for Nested Statistical Models / p54 (0058.jp2)
- 6.1 Nested Models and A Generalized Likelihood Ratio Test / p54 (0058.jp2)
- 6.2 Distribution of Test Statistics / p56 (0060.jp2)
- Chapter 7. Small Sample Simultaneous Tests for Nested Linear Regression Models / p62 (0066.jp2)
- 7.1 Definition of Small Sample Simultaneous Tests / p62 (0066.jp2)
- 7.2 Distributions and Evaluation of the Probability Error Rate / p68 (0072.jp2)
- Chapter 8. Power Comparisons / p74 (0078.jp2)
- 8.1 The Power Performance of GLR Test / p74 (0078.jp2)
- 8.2 The Power Comparisons of Small Sample Simultaneous Tests / p77 (0081.jp2)
- Chapter 9. Nested Confidence Sets / p82 (0086.jp2)
- 9.1 The definition of P-value / p82 (0086.jp2)
- 9.2 Nested Confidence Sets and Model Identification / p83 (0087.jp2)
- 9.3 AIC in view of Simultaneous Test / p85 (0089.jp2)
- Chapter 10. Empirical Examples of Application / p86 (0090.jp2)
- 10.1 Applications of GLR Test / p86 (0090.jp2)
- 10.2 Applications of Small Sample Simultaneous Tests / p89 (0093.jp2)
- Appendices, Figures and Tables / p93 (0097.jp2)
- III. Conditionality Estimation in Simultaneous Equation System / p111 (0115.jp2)
- Chapter 11. Conditionality Inference in Econometrics / p112 (0116.jp2)
- 11.1 Observed v.s. Expected Fisher Information for Location Family / p112 (0116.jp2)
- 11.2 The Curved Exponential Family and Conditional Variance Estimation / p114 (0118.jp2)
- Chapter 12. Some Conditional Properties of Limited Information Maximum Likelihood Estimator / p121 (0125.jp2)
- 12.1 Design of Experiments / p121 (0125.jp2)
- 12.2 Behaviors of Conditional Variance Estimator / p124 (0128.jp2)
- 12.3 Conditional Inference on the smallest Characteristic Root in LIML Estimation / p125 (0129.jp2)
- Chapter 13. Conditional Distributions of LIML Estimator / p129 (0133.jp2)
- 13.1 Asymptotic Expansion of Conditional Distribution / p129 (0133.jp2)
- 13.2 Exact Conditional Distribution / p133 (0137.jp2)
- 13.3 Numerical Evaluations / p136 (0140.jp2)
- Chapter 14. An Example from the Klein Model I / p138 (0142.jp2)
- Appendices, Figures and Tables / p141 (0145.jp2)
- Bibliography / p157 (0161.jp2)