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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
  • Subject Headingunit root Econometrics

Estimation and Inference in Predictive Regressions

Estimation and Inference in Predictive Regressions
Digital規格・テクニカルリポート類
Kurozumi, Eiji, Aono, KoheiInstitute of Economic Research, Hitotsubashi University2011-05
Available onlineOther Libraries in Japan
  • Subject HeadingUnit root near unit root bias median unbiased stock re...

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規格・テクニカルリポート類
Kurozumi, Eiji, Dashtseren, KhashbaatarInstitute of Economic Research, Hitotsubashi University2011-04
Available onlineOther Libraries in Japan
  • Subject Headingmultiple breaks stationary unit root cointegration

Are tourist arrivals stationary? Evidence from Laos

Are tourist arrivals stationary? Evidence from Laos
Digitalその他
2019-10-02Anatolia30 4p.622-
Other Libraries in Japan
  • Summary, etc....n uses a panel unit root test. Our empirical results p...
  • Subject HeadingLaos panel unit root test Tourist arrivals Geograp...

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規格・テクニカルリポート類
矢部, 竜太Graduate School of Economics, Hitotsubashi University2014-12
Available onlineOther Libraries in Japan
  • Subject Heading...moving average Unit root local to unity Moderate Devia...

Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data

Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data
Digital規格・テクニカルリポート類
黒住, 英司, 山崎, 大輔, Hadri, KaddourInstitute of Economic Research, Hitotsubashi University2012-11
Available onlineOther Libraries in Japan
  • Summary, etc....e of covariate unit root tests and the ......ypothesis of a unit root is rejected or......imal covariate unit root test by Juhl a......those of panel unit root tests and show...... the covariate unit root test can be po......ful than panel unit root tests when the cross-sectiona...
  • Subject Headingcovariate unit root test cross-sectional dependen...

A Test of Cointegration Rank Based on Principal Component Analysis

A Test of Cointegration Rank Based on Principal Component Analysis
Digital規格・テクニカルリポート類
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規格・テクニカルリポート類
黒住, 英司Graduate School of Economics, Hitotsubashi University2005-11
Available onlineOther Libraries in Japan
  • Subject HeadingLM test stationary unit root

Modeling the Effect of Oil Price on Global Fertilizer Prices

Modeling the Effect of Oil Price on Global Fertilizer Prices
Digitalその他
McAleer, Michael京都大学経済研究所2010-09KIER Discussion Paper722
Available onlineOther Libraries in Japan
  • Summary, etc....ral breakpoint unit root test, the autoregressive dist...
  • Subject Heading...ral breakpoint unit root test

Ten things we should know about time series

Ten things we should know about time series
Digitalその他
McAleer, Michael京都大学経済研究所2010-08KIER Discussion Paper710
Available onlineOther Libraries in Japan
  • Summary, etc....l and periodic unit roots, analysing fractionally inte...
  • Subject HeadingUnit roots fractional integration long ...

Modeling the Volatility in Global Fertilizer Prices

Modeling the Volatility in Global Fertilizer Prices
Digitalその他
McAleer, Michael京都大学経済研究所2010-07KIER Discussion Paper705
Available onlineOther Libraries in Japan
  • Summary, etc....ral breakpoint unit root test and alternative volatili...
  • Subject Heading...ral breakpoint unit root test

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規格・テクニカルリポート類
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
  • Subject Heading...tes GDP growth Unit root Estimation

Subsampling-Based Tests of Stock-Return Predictability

Subsampling-Based Tests of Stock-Return Predictability
Digital規格・テクニカルリポート類
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 metho...
  • Subject HeadingSubsampling local-to-unit roots predictive regression stock-...

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規格・テクニカルリポート類
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
  • Subject Heading...hood estimator Unit root JEL Classification; C22, C12,...

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規格・テクニカルリポート類
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規格・テクニカルリポート類
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
  • Subject Heading...nal dependency unit root tests non-liner instruments a...

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
  • Subject Headingseasonality unit root seasonal unit root structural change stationarit...

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規格・テクニカルリポート類
福本,幸男
Other Libraries in Japan
  • Subject HeadingBretton Woods / Convergence / Panel Unit Root Test / Price level
  • Note (General)...ying the panel unit root tests. We find that the price...

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