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...

Using wavelet analysis, this paper shows empirically that Japanese stock prices contain predictive information on business turning points since the middle of the 1980s. The average leading period is about 13 months.

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...