統計学輪講（第4回）

統計学輪講（第4回）
日時      2015年04月28日(火)    14時55分～16時40分
場所      経済学部新棟３階第３教室
講演者    国友 直人 (経済)
演題      トレンド・季節性と時系列:非定常変数誤差問題

概要
A joint work with Seisho Sato.
For estimating the structural parameters and relationships
in non-stationary economic time series with seasonality and noise,
we propose a new method
called the Separating Information Maximum Likelihood (SIML)
estimation.
We show that the SIML estimation can identify the nonstationary trend,
the seasonality and the noise components,
which have been observed in many macro-economic time series,
and recover the structural parameters and relationships
among the non-stationary trends with seasonality.
Also we can show that
the SIML estimation is consistent and it has the asymptotic normality
when the sample size is large.
Based on simulations, we find that the SIML estimator has reasonable 
finite sample properties and thus it would be useful for practice.