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
Access this Article
Search this Article
Author
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
資料形態 : テキストデータ プレーンテキスト
コレクション : 国立国会図書館デジタルコレクション > デジタル化資料 > 博士論文
Table of Contents
- CONTENTS
- Preface
- Chapter1.Introduction
- Chapter2.An Overview of Causality Analysis
- 2.1 The Granger Condition for Non-causality
- 2.2 Geweke's Causal Measures and other Statistical Tests
- Chapter3.Hosoya's Causal Measures for Stationary Process
- 3.1 The Measure of One-way Effect
- 3.2 The Measures of Association and Reciprocity
- Chapter4.Cointegration Vectors and Statistical Tests
- 4.1 Nonstationary VAR Model and the Error Correction Model
- 4.2 Statistical Analysis of Cointegrated Vectors
- Chapter5.Causality Analysis of Cointegrated ARMA Model
- 5.1 Some Basic Results for the Inference of ARMA Model
- 5.2 Hosoya's Causal Measures for Cointegrated ARMA Model
- Chapter6.Empirical Analyses of Some Japanese Macroeconomic Data
- 6.1 Empirical Analysis of Cointegrated Relationships
- 6.2 Empirical Analysis of Causal Relationships
- Chapter7.BCT Model and Estimation of Risk
- 7.1 The Box-Cox Transformation
- 7.2 Estimation of Cross-entropy Risk and the GIC
- Chapter8.Identification Methods for Non-Gaussian Process
- 8.1 Inference of the GIC for BCT Model
- 8.2 The Nested χ²Test for BCT Model
- Chapter9.Numerical Evaluation of GIC and AIC
- 9.1 Simulation Models
- 9.2 Monte Carlo Experiments by GIC and MLE
- 9.3 Comparison of the GIC and the AIC
- Chapter10.Information Criteria and Nested χ²Test
- 10.1 Comparison of Nested χ²Test with GIC and AIC
- 10.2 A Mixed Statistics for BCT Model
- 10.3 Some Empirical Examples
- Appendices:The Algorithm for Information Criteria and the Nested χ²Test
- Appendix A:The Program PMRMM92
- Appendix B:The Program PBMGM92
- Appendix C:The Program PBMAM192
- Appendix D:The Program PBMAM292
- Appendix E:The Program NEST94
- Bibliography