前川 功一

統計科学研究拠点 アドバイザー
広島経済大学 教授


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研究テーマ

  • 回帰分析
    SURモデル, ブレークポイント分析
  • 時系列分析
    長期記憶系列, VARモデル, ブートストラップ
  • 金融計量経済学
    高頻度データ, ジャンプ過程
  • 漸近展開
  • 独立成分分析による経済の因果列分析
主要論文
  • 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
連絡先
E-mail:kc-mae[at]hue.ac.jp
電話:082-871-1050
Fax:082-871-4754
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