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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Author

    • 姚, 峰 Yao, Feng

Bibliographic Information

Title

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

Other Title

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

Author

姚, 峰

Author(Another name)

Yao, Feng

University

東北大学

Types of degree

博士 (経済学)

Grant ID

甲第5457号

Degree year

1996-03-26

Note and Description

博士論文

Table of Contents

  1. CONTENTS/p1 (3コマ目)
  2. Preface/p3 (5コマ目)
  3. Chapter1.Introduction/p1 (7コマ目)
  4. Chapter2.An Overview of Causality Analysis/p9 (15コマ目)
  5. 2.1 The Granger Condition for Non-causality/p10 (16コマ目)
  6. 2.2 Geweke's Causal Measures and other Statistical Tests/p14 (20コマ目)
  7. Chapter3.Hosoya's Causal Measures for Stationary Process/p19 (25コマ目)
  8. 3.1 The Measure of One-way Effect/p20 (26コマ目)
  9. 3.2 The Measures of Association and Reciprocity/p27 (33コマ目)
  10. Chapter4.Cointegration Vectors and Statistical Tests/p31 (37コマ目)
  11. 4.1 Nonstationary VAR Model and the Error Correction Model/p34 (40コマ目)
  12. 4.2 Statistical Analysis of Cointegrated Vectors/p38 (44コマ目)
  13. Chapter5.Causality Analysis of Cointegrated ARMA Model/p42 (48コマ目)
  14. 5.1 Some Basic Results for the Inference of ARMA Model/p43 (49コマ目)
  15. 5.2 Hosoya's Causal Measures for Cointegrated ARMA Model/p46 (52コマ目)
  16. Chapter6.Empirical Analyses of Some Japanese Macroeconomic Data/p51 (57コマ目)
  17. 6.1 Empirical Analysis of Cointegrated Relationships/p52 (58コマ目)
  18. 6.2 Empirical Analysis of Causal Relationships/p63 (69コマ目)
  19. Chapter7.BCT Model and Estimation of Risk/p84 (90コマ目)
  20. 7.1 The Box-Cox Transformation/p84 (90コマ目)
  21. 7.2 Estimation of Cross-entropy Risk and the GIC/p87 (93コマ目)
  22. Chapter8.Identification Methods for Non-Gaussian Process/p93 (99コマ目)
  23. 8.1 Inference of the GIC for BCT Model/p93 (99コマ目)
  24. 8.2 The Nested χ²Test for BCT Model/p99 (105コマ目)
  25. Chapter9.Numerical Evaluation of GIC and AIC/p102 (108コマ目)
  26. 9.1 Simulation Models/p103 (109コマ目)
  27. 9.2 Monte Carlo Experiments by GIC and MLE/p104 (110コマ目)
  28. 9.3 Comparison of the GIC and the AIC/p111 (117コマ目)
  29. Chapter10.Information Criteria and Nested χ²Test/p118 (124コマ目)
  30. 10.1 Comparison of Nested χ²Test with GIC and AIC/p119 (125コマ目)
  31. 10.2 A Mixed Statistics for BCT Model/p123 (129コマ目)
  32. 10.3 Some Empirical Examples/p127 (133コマ目)
  33. Appendices:The Algorithm for Information Criteria and the Nested χ²Test/p135 (141コマ目)
  34. Appendix A:The Program PMRMM92/p135 (141コマ目)
  35. Appendix B:The Program PBMGM92/p147 (153コマ目)
  36. Appendix C:The Program PBMAM192/p156 (162コマ目)
  37. Appendix D:The Program PBMAM292/p168 (174コマ目)
  38. Appendix E:The Program NEST94/p174 (180コマ目)
  39. Bibliography/p180 (186コマ目)
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Codes

  • NII Article ID (NAID)
    500000134707
  • NII Author ID (NRID)
    • 8000000973797
  • DOI(NDL)
  • NDLBibID
    • 000000299021
  • Source
    • NDL ONLINE
    • NDL Digital Collections

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