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
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著者
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
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東北大学
- 取得学位
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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
- CONTENTS/p1 (3コマ目)
- Preface/p3 (5コマ目)
- Chapter1.Introduction/p1 (7コマ目)
- Chapter2.An Overview of Causality Analysis/p9 (15コマ目)
- 2.1 The Granger Condition for Non-causality/p10 (16コマ目)
- 2.2 Geweke's Causal Measures and other Statistical Tests/p14 (20コマ目)
- Chapter3.Hosoya's Causal Measures for Stationary Process/p19 (25コマ目)
- 3.1 The Measure of One-way Effect/p20 (26コマ目)
- 3.2 The Measures of Association and Reciprocity/p27 (33コマ目)
- Chapter4.Cointegration Vectors and Statistical Tests/p31 (37コマ目)
- 4.1 Nonstationary VAR Model and the Error Correction Model/p34 (40コマ目)
- 4.2 Statistical Analysis of Cointegrated Vectors/p38 (44コマ目)
- Chapter5.Causality Analysis of Cointegrated ARMA Model/p42 (48コマ目)
- 5.1 Some Basic Results for the Inference of ARMA Model/p43 (49コマ目)
- 5.2 Hosoya's Causal Measures for Cointegrated ARMA Model/p46 (52コマ目)
- Chapter6.Empirical Analyses of Some Japanese Macroeconomic Data/p51 (57コマ目)
- 6.1 Empirical Analysis of Cointegrated Relationships/p52 (58コマ目)
- 6.2 Empirical Analysis of Causal Relationships/p63 (69コマ目)
- Chapter7.BCT Model and Estimation of Risk/p84 (90コマ目)
- 7.1 The Box-Cox Transformation/p84 (90コマ目)
- 7.2 Estimation of Cross-entropy Risk and the GIC/p87 (93コマ目)
- Chapter8.Identification Methods for Non-Gaussian Process/p93 (99コマ目)
- 8.1 Inference of the GIC for BCT Model/p93 (99コマ目)
- 8.2 The Nested χ²Test for BCT Model/p99 (105コマ目)
- Chapter9.Numerical Evaluation of GIC and AIC/p102 (108コマ目)
- 9.1 Simulation Models/p103 (109コマ目)
- 9.2 Monte Carlo Experiments by GIC and MLE/p104 (110コマ目)
- 9.3 Comparison of the GIC and the AIC/p111 (117コマ目)
- Chapter10.Information Criteria and Nested χ²Test/p118 (124コマ目)
- 10.1 Comparison of Nested χ²Test with GIC and AIC/p119 (125コマ目)
- 10.2 A Mixed Statistics for BCT Model/p123 (129コマ目)
- 10.3 Some Empirical Examples/p127 (133コマ目)
- Appendices:The Algorithm for Information Criteria and the Nested χ²Test/p135 (141コマ目)
- Appendix A:The Program PMRMM92/p135 (141コマ目)
- Appendix B:The Program PBMGM92/p147 (153コマ目)
- Appendix C:The Program PBMAM192/p156 (162コマ目)
- Appendix D:The Program PBMAM292/p168 (174コマ目)
- Appendix E:The Program NEST94/p174 (180コマ目)
- Bibliography/p180 (186コマ目)
