カテゴリ
日時
タイトル
報告者/場所
詳細
2008/12/02 (火)
16:30〜18:00
16:30〜18:00
Financial Globalization: Robin Hood or King John?
村瀬 英彰 氏（名古屋市立大学）
経済研究所 会議室
2008/11/25 (火)
16:30〜18:00
16:30〜18:00
Endogenous fluctuations of investment and output
楡井 誠 氏（一橋大学）
経済研究所 会議室
2008/11/19 (水)
16:30〜18:00
16:30〜18:00
Evaluating Merger Remedies in A Dynamic Environment: Revisiting the Steel Merger in 1970
大橋 弘 氏（東京大学）
経済研究所 会議室
2008/11/12 (水)
16:00〜17:30
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.