Asymptotic theory for nonstationary economic time series 非定常経済時系列の漸近理論

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著者

    • 何, 宗路 カ, シュウロ

書誌事項

タイトル

Asymptotic theory for nonstationary economic time series

タイトル別名

非定常経済時系列の漸近理論

著者名

何, 宗路

著者別名

カ, シュウロ

学位授与大学

広島大学

取得学位

博士 (経済学)

学位授与番号

甲第1964号

学位授与年月日

1999-03-25

注記・抄録

博士論文

目次

  1. CONTENTS / p9 (0006.jp2)
  2. Abstract / p3 (0003.jp2)
  3. Acknowledgments / p7 (0005.jp2)
  4. Part I Asymptotic Properties of the OLS and QML Estimators in Autoregre-ssive Distributed Lag Models (ADL) / p1 (0008.jp2)
  5. Chapter1 Asymptotic Properties of the OLS and QML stimators in ADL (1,0) Models / p3 (0009.jp2)
  6. 1.1 Introduction / p3 (0009.jp2)
  7. 1.2 Model and Estimator / p5 (0010.jp2)
  8. 1.3 A Quasi-Maximum Likelihood Estimator / p12 (0014.jp2)
  9. 1.4 Simulation / p15 (0015.jp2)
  10. 1.5 Concluding Remarks / p16 (0016.jp2)
  11. Figures 1-8 / p18 (0017.jp2)
  12. Appendix 1.A / p22 (0019.jp2)
  13. Appendix 1.B / p32 (0024.jp2)
  14. Appendix 1.C / p42 (0029.jp2)
  15. Appendix 1.D / p52 (0034.jp2)
  16. Chapter2 Asymptotic Properties of the OLS Estimator in ADL (p,q) Models / p61 (0038.jp2)
  17. 2.1 Introduction / p61 (0038.jp2)
  18. 2.2 ADL (p,q) Models / p66 (0041.jp2)
  19. 2.3 Stationary Exogenous Variables / p68 (0042.jp2)
  20. 2.4 Integrated Exogenous Variables / p74 (0045.jp2)
  21. 2.5 Alternative Estimator of LMPC / p87 (0051.jp2)
  22. 2.6 Simulation Study on Both Estimators of LMPC / p89 (0052.jp2)
  23. 2.7 Summary and Conclusion / p90 (0053.jp2)
  24. Figures 9-17 / p92 (0054.jp2)
  25. Appendix 2.A / p97 (0056.jp2)
  26. Appendix 2.B / p103 (0059.jp2)
  27. Appendix 2.C / p106 (0061.jp2)
  28. Appendix 2.D / p115 (0065.jp2)
  29. Appendix 2.E / p117 (0066.jp2)
  30. Part II Spurious Granger Causalities / p120 (0068.jp2)
  31. Chapter3 Spurious Granger Causalities in Simple Cases / p121 (0068.jp2)
  32. 3.1 Introduction / p121 (0068.jp2)
  33. 3.2 Formulation / p124 (0070.jp2)
  34. 3.3 Independent Random Walks (DGP1) / p128 (0072.jp2)
  35. 3.4 Independent Random Walk and Trend Process (DGP2) / p133 (0074.jp2)
  36. 3.5 Independent Random Walk and Random Walk with Drift (DGP3) / p138 (0077.jp2)
  37. 3.6 Simulation Study / p142 (0079.jp2)
  38. 3.7 Summary and Conclusion / p144 (0080.jp2)
  39. Figures 18-25 / p148 (0082.jp2)
  40. Appendix 3.A / p152 (0084.jp2)
  41. Appendix 3.B / p156 (0086.jp2)
  42. Appendix 3.C / p160 (0088.jp2)
  43. Appendix 3.D / p161 (0088.jp2)
  44. Chapter4 Spurious Granger Causalities in General Cases / p167 (0091.jp2)
  45. 4.1 Models and F Statistics / p167 (0091.jp2)
  46. 4.2 Independent ARMA Processes with Unit Roots (DGP1′) / p170 (0093.jp2)
  47. 4.3 Independent ARMA Processes with A Unit Root and Trends (DGP2′) / p174 (0095.jp2)
  48. 4.4 Independent ARMA Processes with A Unit Root and A Unit Root Involving Drift (DGP3′) / p178 (0097.jp2)
  49. 4.5 Summary and Conclusion / p182 (0099.jp2)
  50. Appendix 4.A / p184 (0100.jp2)
  51. Appendix 4.B / p189 (0102.jp2)
  52. Appendix 4.C / p192 (0104.jp2)
  53. Appendix 4.D / p198 (0107.jp2)
  54. References / p201 (0108.jp2)
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各種コード

  • NII論文ID(NAID)
    500000185221
  • NII著者ID(NRID)
    • 8000000185503
  • DOI(NDL)
  • NDL書誌ID
    • 000000349535
  • データ提供元
    • NDL ONLINE
    • NDLデジタルコレクション
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