| アイテムタイプ |
デフォルトアイテムタイプ（フル）その２(1) |
| 公開日 |
2017-05-20 |
| タイトル |
|
|
タイトル |
Forcasting in large cointegrated processes |
|
言語 |
en |
| 作成者 |
千木良, 弘朗
山本, 拓
|
| 寄与者 |
|
|
寄与者タイプ |
Editor |
|
|
姓名 |
社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences |
|
|
言語 |
en |
| アクセス権 |
|
|
アクセス権 |
open access |
|
アクセス権URI |
http://purl.org/coar/access_right/c_abf2 |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
Forcasting |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
Cointegration |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
Large Models |
| 内容記述 |
|
|
内容記述タイプ |
Abstract |
|
内容記述 |
It is widely recognized that taking cointegration relationships into consideration is useful in forecasting cointegrated processes. However, there are a few practical problems when forecasting large cointegrated processes using the well-known vector error correction model. First, it is hard to identify the cointegration rank in large models. Second, since the number of parameters to be estimated tends to be large relative to the sample size in large models, estimators will have large standard errors, and so will forecasts. The purpose of the present paper is to propose a new procedure for forecasting large cointegrated processes, which is free from the above problems. In our Monte Carlo experiment, we find that our forecast gains accuracy when we work with a larger model as long as the ratio of the cointegration rank to the number of variables in the process is high. |
|
言語 |
en |
| 出版者 |
|
|
出版者 |
Institute of Economic Research, Hitotsubashi University |
| 日付 |
|
|
日付 |
2006-06 |
|
日付タイプ |
Issued |
| 言語 |
|
|
言語 |
eng |
| 資源タイプ |
|
|
資源タイプ識別子 |
http://purl.org/coar/resource_type/c_18gh |
|
資源タイプ |
technical report |
| 出版タイプ |
|
|
出版タイプ |
VoR |
|
出版タイプResource |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| 関連情報 |
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|
関連タイプ |
isPartOf |
|
|
関連名称 |
Hi-Stat Discussion paper series ; No. d06-169 |
| 関連情報 |
|
|
|
識別子タイプ |
URI |
|
|
関連識別子 |
http://21coe.ier.hit-u.ac.jp/english/index.html |
| ページ数 |
|
|
ページ数 |
34 |
| Sponsorship |
|
|
値 |
21世紀COEプログラム = 21st-Century COE Program |
| JEL |
|
|
値 |
C12 |
| JEL |
|
|
値 |
C32 |
D06-169.pdf (659220 bytes)
