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非定常ベクトル時系列分析

非定常ベクトル時系列分析
Paper図書
森棟, 公夫, 京都大学1998-2000<Y151-H10630024>
National Diet Library

Estimation and Inference in Predictive Regressions

Estimation and Inference in Predictive Regressions
Digital文書・図像類
Kurozumi, Eiji, Aono, KoheiInstitute of Economic Research, Hitotsubashi University2011-05
Available onlineOther Libraries in Japan

Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes

Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes
Digital文書・図像類
Kurozumi, Eiji, Dashtseren, KhashbaatarInstitute of Economic Research, Hitotsubashi University2011-04
Available onlineOther Libraries in Japan

Asymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)

Asymptotic Distribution of the Conditional Sum of Squares Estimator Under Moderate Deviation From a Unit Root in MA(1)
Digital文書・図像類
矢部, 竜太Graduate School of Economics, Hitotsubashi University2014-12
Available onlineOther Libraries in Japan

Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data

Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data
Digital文書・図像類
黒住, 英司, 山崎, 大輔, Hadri, KaddourInstitute of Economic Research, Hitotsubashi University2012-11
Available onlineOther Libraries in Japan

A Test of Cointegration Rank Based on Principal Component Analysis

A Test of Cointegration Rank Based on Principal Component Analysis
Digital文書・図像類
千木良, 弘朗Institute of Economic Research, Hitotsubashi University2006-01
Available onlineOther Libraries in Japan
  • Subject HeadingCointegratin test Unit roots

Construction of Stationarity Tests with Less Size Distortions

Construction of Stationarity Tests with Less Size Distortions
Digital文書・図像類
黒住, 英司Graduate School of Economics, Hitotsubashi University2005-11
Available onlineOther Libraries in Japan

Modeling the Effect of Oil Price on Global Fertilizer Prices

Modeling the Effect of Oil Price on Global Fertilizer Prices
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-09KIER Discussion Paper722
Available onlineOther Libraries in Japan

Ten things we should know about time series

Ten things we should know about time series
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-08KIER Discussion Paper710
Available onlineOther Libraries in Japan
  • Summary, etc....l and periodic unit roots, analysing fractionally integ...
  • Subject HeadingUnit roots fractional integration long m...

Modeling the Volatility in Global Fertilizer Prices

Modeling the Volatility in Global Fertilizer Prices
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-07KIER Discussion Paper705
Available onlineOther Libraries in Japan

How Does Yield Curve Predict GDP Growth ? A Macro-Finance Approach Revisited

How Does Yield Curve Predict GDP Growth ? A Macro-Finance Approach Revisited
Paper文書・図像類
Koeda, Junko日本経済国際共同センター2011-01Discussion paper series. CIRJE-FCIRJE-F-784
Other Libraries in Japan

Subsampling-Based Tests of Stock-Return Predictability

Subsampling-Based Tests of Stock-Return Predictability
Digital文書・図像類
Choi, In, Chue, Timothy K.Institute of Economic Research, Hitotsubashi University2006-07
Available onlineOther Libraries in Japan
  • Summary, etc.... with local-to-unit roots. By contrast, previous method...
  • Subject HeadingSubsampling local-to-unit roots predictive regression stock-r...

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence

Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors : Theory and Monte Carlo Evidence
Paper文書・図像類
Ling, Shiqing, W., K. Li, Michael, McAleer日本経済国際共同センター2003-03Discussion paper series. CIRJE-F2003-CF-207
Other Libraries in Japan

経済季節性と季節転換時系列モデル

経済季節性と季節転換時系列モデル
Paper文書・図像類
国友, 直人, 高岡, 慎日本経済国際共同センター2005-07Discussion paper series. CIRJE-JCIRJE-J-135
Other Libraries in Japan
  • Subject HeadingX-12-ARIMA 季節調整 RegARIMAモデル 見せかけの季節単位根（spurious seasonal unit roots） SSARIMAモデル

Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency

Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency
Paper文書・図像類
Chang, Yoosoon日本経済国際共同センター2000-07Discussion paper series. CIRJE-FCF-85
Other Libraries in Japan

季節性及び構造変化を伴う場合の定常性の検定に関する論文

季節性及び構造変化を伴う場合の定常性の検定に関する論文
Digital博士論文
黒住, 英司
Available onlineOther Libraries in Japan

When the Collapse of the Bretton Woods System Began?: Evidence from the G7 Countries

When the Collapse of the Bretton Woods System Began?: Evidence from the G7 Countries
Digital文書・図像類
福本,幸男
Other Libraries in Japan

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