統計学輪講（第１２回）

日時      2006年 6月 20日(火)    15時〜16時40分
場所      経済学部新棟３階第２教室
講演者    荒井 洋一(経済)
演題      Estimation and inference in cointegrated system with  
      structural breaks

概要
  We consider an efficient estimation method and testing in
cointegrated system with structural breaks. Since it is relatively
straightforward to consider the problems of estimation and testing
when the break point is known, we mainly focus on the case of unknown
break timing.  First of all, we propose the least squares estimator
for the break point and show its asymptotic properties. Next, we
derive a test for the null hypothesis of cointegration with structural
breaks. Finally, we show how cointegrating vectors can be estimated
and the hypothesis on them can be tested. 

統計学輪講のスケジュールに戻る．

Tokyo University