By using the empirical likelihood (EL), we consider the construction of pointwise confidence intervals (CIs) for nonparametric nonlinear nonstationary regression models with nonlinear nonstationary heterogeneous errors. It is well known that the EL-based CI has attractive properties such as data...

This paper derives the asymptotic distribution of Tanaka's score statistic under moderate deviation from a unit root in a moving average model of order one or MA(1). We classify the limiting distribution into three types depending on the order of deviation. In the fastest case, the convergence...

This paper derives the asymptotic distribution of Tanaka's score statistic under moderate deviation from a unit root in a moving average model of order one or MA(1). We classify the limiting distribution into three types depending on the order of deviation. In the fastest case, the convergence...

Elliott and Mler (2007) (EM) provides a method to construct a confidence set for the structural break date by inverting a locally best test statistic. Previous studies show that the EM method produces a set with an accurate coverage ratio even for a small break, however, the set is often overly...

The most prominent characteristic of the Japanese yen/U.S. dollar nominal exchange rate in the post-Plaza Accord era is near random-walk behavior sharing a common stochastic trend with the two-country monetary base differential augmented with excess reserves. In this paper, we develop a simple...

本稿では、動学的確率的一般均衡モデルのマクロ計量経済分析における役割を、Geweke (2010)による強解釈と弱解釈および最小解釈の3分類に従って批判的に略説する。最小解釈の応用例として、Kano and Nason...

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