Breitung and Candelon (2006) in <italic>Journal of Econometrics</italic> proposed a simple statistical testing procedure for the noncausality hypothesis at a given frequency. In their paper, however, they reported some theoretical results indicating that their test severely suffers from quite low power when the...

This paper investigates the dynamic relationships between oil prices and the Japanese economy from a frequency domain perspective. Both the frequency domain causality test of Breitung and Candelon (2006) and the frequency dependent regression method developed by Ashley and Verbrugge (2009) are...

Using the monthly Japanese data from January 1970 to December 2011, this paper analyzes the predictive power of commodity prices and manufactured goods prices for inflation. We split the full sample into the two sub-periods 1970M1-1990M12 and 1991M1-2011M12. By testing the causality at various...

The paper examines whether M2 demand in Japan does not form a cointegrated system unless the effective exchange rate is included. We focus on testing statistical significance of the coefficient for the effective exchange rate in the long-run equilibrium M2 demand relation. Empirical results...

We numerically investigate quantum diffusion of an electron in a model of poly(dG)-poly(dC) and poly(dA)-poly(dT) DNA polymers with fluctuation of the parameters due to the impact of colored noise. The randomness is introduced by fluctuations of distance between two consecutive bases along...

This paper deals with hypothesis testing in vector autoregressive (VAR) models that may contain some unit roots. We consider situations in which the researcher's goal is not detecting the presence (absence) of unit roots or their location (i.e. cointegrating relations), but testing some economic...

This paper investigates the sampling performance of hypothesis tests based on the fully modified vector autoregression (FM-VAR) that has recently been developed by Phillips (1995). The FM-VAR procedure is applicable without any prior knowledge about the number and location of unit roots. We...

This paper investigates the sampling performance of hypothesis tests based on the fully modified vector autoregression (FM-VAR) that has recently been developed by Phillips (1995). The FM-VAR procedure is applicable without any prior knowledge about the number and location of unit roots. We...

This paper deals with hypothesis testing in vector autoregressive (VAR) models that may contain some unit roots. We consider situations in which the researcher's goal is not detecting the presence (absence) of unit roots or their location (i.e. cointegrating relations), but testing some economic...