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

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

  1. CONTENTS
  2. Preface
  3. Chapter1.Introduction
  4. Chapter2.An Overview of Causality Analysis
  5. 2.1 The Granger Condition for Non-causality
  6. 2.2 Geweke's Causal Measures and other Statistical Tests
  7. Chapter3.Hosoya's Causal Measures for Stationary Process
  8. 3.1 The Measure of One-way Effect
  9. 3.2 The Measures of Association and Reciprocity
  10. Chapter4.Cointegration Vectors and Statistical Tests
  11. 4.1 Nonstationary VAR Model and the Error Correction Model
  12. 4.2 Statistical Analysis of Cointegrated Vectors
  13. Chapter5.Causality Analysis of Cointegrated ARMA Model
  14. 5.1 Some Basic Results for the Inference of ARMA Model
  15. 5.2 Hosoya's Causal Measures for Cointegrated ARMA Model
  16. Chapter6.Empirical Analyses of Some Japanese Macroeconomic Data
  17. 6.1 Empirical Analysis of Cointegrated Relationships
  18. 6.2 Empirical Analysis of Causal Relationships
  19. Chapter7.BCT Model and Estimation of Risk
  20. 7.1 The Box-Cox Transformation
  21. 7.2 Estimation of Cross-entropy Risk and the GIC
  22. Chapter8.Identification Methods for Non-Gaussian Process
  23. 8.1 Inference of the GIC for BCT Model
  24. 8.2 The Nested χ²Test for BCT Model
  25. Chapter9.Numerical Evaluation of GIC and AIC
  26. 9.1 Simulation Models
  27. 9.2 Monte Carlo Experiments by GIC and MLE
  28. 9.3 Comparison of the GIC and the AIC
  29. Chapter10.Information Criteria and Nested χ²Test
  30. 10.1 Comparison of Nested χ²Test with GIC and AIC
  31. 10.2 A Mixed Statistics for BCT Model
  32. 10.3 Some Empirical Examples
  33. Appendices:The Algorithm for Information Criteria and the Nested χ²Test
  34. Appendix A:The Program PMRMM92
  35. Appendix B:The Program PBMGM92
  36. Appendix C:The Program PBMAM192
  37. Appendix D:The Program PBMAM292
  38. Appendix E:The Program NEST94
  39. Bibliography
4access

Codes

  • NII Article ID (NAID)
    500002050726
  • NII Author ID (NRID)
    • 8000002614742
  • DOI(NDL)
  • NDLBibID
    • 000000299021
  • Source
    • NDL ONLINE
    • NDL Digital Collections

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