Koichi MAEKAWA

Advisor of the SSRC
Emeritus Professor of Hiroshima University
Professor of Hiroshima University of Economics


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Research Interests
  • Regression analysis
    SUR model, Break point analysis
  • Time series analysis
    Long Memory, VAR model, Boot strap
  • Financial Econometrics
    High frequency data, Jump
  • Asymptotic Expansion
  • Causal Order Analysis by Independent Component Analysis (ICA)
Sample Publications
  • T. Kariya and K. Maekawa,(1982) A method for approximations to the PDF’s and the CDF’s of GLSE’s and its application to the SUR model, Annals of institute of statistical Mathematics, Vol.34, pp.281-297
  • K. Maekawa, (1983)An Approximation to the Least Squares Estimation in AR(1) Model, Econometrica , Vol.51, pp.229-238
  • K. Tanaka and K. Maekawa,( 1984) The sampling distribution of the predictor for an auto- regressive model under misspecifications, Journal of Econometrics, Vol.25, pp.327-351
  • K. Maekawa,( 1985) Edgeworth expansion for the OLS estimator in a time series regression model, Econometric Theory , Vol.1, No.2, pp.223-239
  • K. Maekawa,(1987) Finite sample properties of several predictors from an autoregressive model, Econometric Theory ,Vol.3, No.3, pp.359-370
  • T. Taniguchi and K. Maekawa,(1990) Asymptotic expansions of the distributions of statistics related to the spectral density matrix in multivariate time series and their applications, Econometric Theory, Vol.6, pp.75-96
  • V.K.Srivastava and K. Maekawa,(1995) Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances, Journal of Econometrics, Vol.66, pp.273-294
  • Z. He and K. Maekawa, (2001)On spurious Granger causality, Economics Letters, Vol.73, pp.307-313
  • S Lee, T.Morimoto, K.kawai and K. Maekawa,(2008) Jump diffusion model with application to the Japanese stock market, Mathematics and Computers in Simulation, Vol.78,2-3, pp.223-236
  • Xinhong Lu、ken-ichi Kawai、and K. Maekawa,(2010) Estimating Bivariate GARCH-Jump Model Based on High Frequency Data: the case of revaluation of the Chinese Yuan in July 2005, Asia Pacific Journal of Operational Research, Vol. 27, No. 2, pp.287-300
CONTACT INFORMATION
E-mail:kc-mae[at]hue.ac.jp
Tel:+81-82-871-1050
Fax:+81-82-871-4754
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