INFERENCE ON THE COINTEGRATION RANK AND A PROCEDURE FOR VARMA ROOT-MODIFICATION

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概要

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• The paper presents a feasible numerical procedure for evaluating the maximum Whittle likelihood estimates and the likelihood-ratio statistics, where to obtain the maximum Whittle likelihood estimates under specific cointegration ranks, we introduce an iterative method in which the set of the ARMA coefficient estimates is adjusted so as to guarantee that in each step they satisfy the root conditions imposed by respective cointegration rank hypotheses. The method is incorporated in the Whittle likelihood maximization.

• 一般社団法人日本統計学会の論文

著者

• Hosoya Yuzo

  Meisei Univ. Hino Jpn

• Hosoya Yuzo

  Department Of Economics Meisei University

• Takimoto Taro

  Faculty of Economics, Kyushu University

• Takimoto Taro

  Faculty Of Economics Kyushu University

関連論文

• INFERENCE ON THE COINTEGRATION RANK AND A PROCEDURE FOR VARMA ROOT-MODIFICATION
• INFERENCE ON A SET OF STATISTICAL MODELS(CELEBRATION VOLUME FOR AKAIKE)
• A MODIFIED BOX-COX TRANSFORMATION IN THE MULTIVARIATE ARMA MODEL

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