マクロ数量分析特研I
| 第 １回 | ４月 | １１日 | Objectives of analyzing multiple time series, some basics, vector autoregressive processes, stable VAR(p) processes | |
| 第 ２回 | １８日 | The moving average represenation of a VAR process, stationary processes, computation of autocovariances and autocorrelations of stable VAR processes, | ||
| the loss function, point forecasts, interval forecasts and forecast regions | ||||
| 第 ３回 | ２５日 | Gragner causality, instantaneous causality, multi-step causality, impulse response analysis | ||
| 第 ４回 | ５月 | ２日 | Impulse response analysis, forecast error variance decomposition, multivariate least squares estimation, asymptotic properties of the least squares estimator | |
| 第 ５回 | ９日 | Small sample properties of the LS estimator, least squares estimation with mean-adjusted data and Yule-Walker estimation, maximum likelihood estimation | ||
| 第 ６回 | １６日 | Forecasting with estimated processes, testing for causality | ||
| 第 ７回 | ２３日 | cancelled | ||
| 第 ８回 | ３０日 | The asymptotic distribution of the impulse responses by simulation techniques, a sequence of tests for determining the VAR order | ||
| 第 ９回 | ６月 | ６日 | A testing scheme for VAR order determination, criteria for VAR order selection | |
| the asymptotic distributions of the autocovariances and autocorrelations of a white noise process | ||||
| 第１０回 | １３日 | The asymptotic distributions of the residual autocovariances and autocorrelations of an estimated VAR process, testing for nonnormality, tests for structural change | ||
| 第１１回 | ２０日 | VAR processes with parameter constraints, linear constraints, LS/GLS/EGLS/ML estimation, constraints for individual equations, restrictions for the white noise covariance matrix | ||
| 第１２回 | ２７日 | Forecasting, impulse response analysis and forecast error variance decomposition, specification of subset VAR models, model checking | ||
| 第１３回 | ７月 | ４日 | Integrated processes, VAR processes with integrated variables, cointegrated processes, common stochastic trends, vector error correction models | |
| 第１４回 | １１日 | Deterministic terms in cointegrated processes, forecasting integrated and cointegrated variables, causality analysis, impulse response analysis | ||
| 第１５回 | ２５日 | Review | ||