JP

Events

Econometrics

Category
Date
Title
Presenter/Location
Details
2009/07/22 Wed
16:00〜17:30
Infereing Strategic Voting
渡辺 安虎(Northwestern University)
第一共同研究室(4F北側)
2009/06/03 Wed
16:00〜17:30
Partial identification and inference in models of discrete choice with interactions
Marc Henry(Universite de Montreal)
第一共同研究室(4F北側)
2009/05/27 Wed
16:00〜17:30
TBA
金谷 太郎(滋賀大学)
第一共同研究室(4F北側)
2009/02/25 Wed
16:00〜17:30
Uniform Asymptotic Normality in Stationary and Unit Root Autoregression;
Chirok Han(Korea University)
第一共同研究室(4F北側)
2009/02/04 Wed
16:30〜18:00
Local Quasi-likelihood with A Parametric Guide
Feng Yang(プリンストン大学)
第一共同研究室(4F北側)
2009/01/21 Wed
16:00〜17:30
Sequential Estimation of Structural Models with a Fixed Point Constraint
下津 克己(Queen's University)
第一共同研究室(4F北側)
2009/01/14 Wed
16:30〜18:00
Estimator Averaging for Two Stage Least Squares
奥井 亮(香港科学技術大学)
会議室(1階)
2008/12/17 Wed
16:00〜17:30
ミクロ計量経済学的手法を用いた生涯学習に関する分析-JGSSデータに基づいて-
百瀬 秀夫(京都大学M2)
第一共同研究室(4F北側)
2008/12/17 Wed
16:00〜17:30
Realized Variance, Microstruture Noise and Kernel Estimators
王 文傑(京都大学M2)
第一共同研究室(4F北側)
2008/11/12 Wed
16:00〜17:30
I(2) Cointegration Analysis in the Presence of Deterministic Shifts
栗田 高光(福岡大学)
第一共同研究室(4F北側)

This paper investigates limit theory for the likelihood analysis of
an I (2) cointegrated vector autoregressive (VAR) model in the presence of
deterministic shifts. A log likelihood ratio (log LR) test statistic for
integration indices is considered, and it is demonstrated that the
asymptotic distribution of the statistic is given in the form of a
generalised Dicky-Fuller type distribution. A log LR test statistic for
restrictions on long-run and slope coefficients is also investigated, and
it is proved that the statistic is asymptotically chi-square distributed.
Finally, an empirical analysis of macroeconomic data in Japan is performed
using the I(2) VAR model subject to a deterministic shift.

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