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Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes
Kurozumi, Eiji; Dashtseren, Khashbaatar - Institute of Economic Research, Hitotsubashi University - 2011
We develop a new approach of statistical inference in possibly integrated/cointegrated vector autoregressions. Our method is built on the two previous approaches: the lag augmented approach by Toda and Yamamoto (1995) and the artificial autoregressions by Yamamoto (1996). We show that our...
Persistent link: https://www.econbiz.de/10009020169
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Tests for Long-Run Granger Non-Causality in Cointegrated Systems
Yamamoto, Taku; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2003
chi-square distribution. A test for the ranks of submatrices of the cointegration matrix and its orthogonal matrix plays a …
Persistent link: https://www.econbiz.de/10005783917
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Forcasting in large cointegrated processes
Chigira, Hiroaki; Yamamoto, Taku - Institute of Economic Research, Hitotsubashi University - 2006
It is widely recognized that taking cointegration relationships into consideration is useful in forecasting …-known vector error correction model. First, it is hard to identify the cointegration rank in large models. Second, since the number … accuracy when we work with a larger model as long as the ratio of the cointegration rank to the number of variables in the …
Persistent link: https://www.econbiz.de/10005489431
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The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market
Aono, Kohei; Iwaisako, Tokuo - Institute of Economic Research, Hitotsubashi University - 2008
The first contribution of this paper, following the works of Lettau and Ludvigson (2001a,b), is construction of the Japanese consumption-wealth ratio data series and to examine whether it explains Japanese stock market data. We find that the consumption-wealth ratio does not predict future stock...
Persistent link: https://www.econbiz.de/10005574141
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Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors
Kurozumi, Eiji; Hayakawa, Kazuhiko - Institute of Economic Research, Hitotsubashi University - 2006
In this paper, we analytically investigate three efficient estimators for cointegrating regression models: Phillips and Hansen's (1990) fully modified OLS estimator, Park's (1992) canonical cointegrating regression estimator, and Saikkonen's (1991) dynamic OLS estimator. First, by the Monte...
Persistent link: https://www.econbiz.de/10005650647
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Model Selection Criteria for the Leads-and-Lags Cointegrating Regression
Choi, In; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2008
In this paper, Mallows'(1973) Cp criterion, Akaike's (1973) AIC, Hurvich and Tsai's (1989) corrected AIC and the BIC of Akaike (1978) and Schwarz (1978) are derived for the leads-and-lags cointegrating regression. Deriving model selection criteria for the leads-and-lags regression is a...
Persistent link: https://www.econbiz.de/10005650694
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The Granger Non-Causality Test in Cointegrated Vector Autoregressions
Chigira, Hiroaki; Yamamoto, Taku - Institute of Economic Research, Hitotsubashi University - 2003
the submatrix of cointegration. In this paper, we propose a procedure for conducting Granger non-causality tests that are …
Persistent link: https://www.econbiz.de/10005675453
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The Role of "Leads" in the Dynamic OLS Estimation of Cointegrating Regression Models
Hayakawa, Kazuhiko; Kurozumi, Eiji - Institute of Economic Research, Hitotsubashi University - 2006
In this paper, we consider the role of "leads" of the first difference of integrated variables in the dynamic OLS estimation of cointegrating regression models. We demonstrate that the role of leads is related to the concept of Granger causality and that in some cases leads are unnecessary in...
Persistent link: https://www.econbiz.de/10005675469
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Test for the null hypothesis of cointegration with reduced size distortion
Kurozumi, Eiji; Arai, Yoichi - Institute of Economic Research, Hitotsubashi University - 2006
) test for the null hypothesis of cointegration. We derive the asymptotic local power functions and compare them with the …
Persistent link: https://www.econbiz.de/10005675491
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Cointegration, Integration, and Long-Term Forcasting
Chigira, Hiroaki; Yamamoto, Taku - Institute of Economic Research, Hitotsubashi University - 2006
It is widely believed that taking cointegration and integration into consideration is useful in constructing long …-term forecasts for cointegrated processes. This paper shows that imposing neither cointegration nor integration leads to superior …
Persistent link: https://www.econbiz.de/10005675519