For estimating the integrated volatility by using high frequency data, Kunitomo and Sato (2008, 2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and asymptotic...

For estimating the integrated volatility and covariance by using high frequency data, Kunitomo and Sato (2011, 2013) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable nite sample properties and...

For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a,b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent...

We investigate some issues of macro-economic statistics in Japan including the housing investment, the private non-residential investment and the quarterly (preliminary) GDP estimates. We illustrate the problems associated with the seasonality and structural break in recent Japanese...

We have several lessons from the recent "Higashi-Nihon-Daisinsai," a big earthquaqe and Tsunami occurred in 2011.3.11. After the last natural dissaster, the central and local governments asked the Housing Companies to make a large number of temporary houses within two-to-three months. We review...

In this lecture we illustrate several measurement errors issues and their statistical analyses arisen in Government Statistics, Econometrics and Financial Econometrics. We argue that there are some common structures and methods in many statistical problems and it shall be beneficial for many...

We consider the estimation of coefficients of a dynamic panel structural equation in the simultaneous equation models. As a semi-parametric method, we introduce a class of modifications of the limited information maximum likelihood (LIML) estimator to improve its asymptotic properties as well as...

We discuss the benchmarking and temporal distribution methods for economic time series. We compare the Pro-Rata, the Denton and the Chow-Lin methods, and apply them to an analysis of some components of Japanese GDP. We have found that the Denton method often gives reasonable results among three...

For estimating the realized volatility and covariance by using high frequency data, Kunitomo and Sato (2008a, b) have proposed the Separating Information Maximum Likelihood (SIML) method when there are micro-market noises. The SIML estimator has reasonable asymptotic properties; it is consistent...

We investigate the finite sample and asymptotic properties of several estimation methods (Within-Group, GMM and LIML) for a panel autoregressive structural equation model with random effects when both T and N are large. When we use the forward-filtering to a structural model as Alvarez and...