博士（経済学） / 甲第99号 / 155p / Hitotsubashi University

In this thesis, we study the unit root tests which includes the ADF, PP and KPSS tests, the long memory tests such as the R/S and GPH tests, and the applications of these methods in high frequency financial data analysis. The software SPLUS was adopted to analyze data and correction of the SPLUS program in unit tests are also proposed. To apply these two test methods in high frequency data, we quoted the library, HFlibrary designed by Yan and Zivot in 2003 for preliminary data analysis and propose a new library HFanalysis, which can be used in correcting high frequency data (excluding N.A. value, sorting transactions and retrieve a certain time of transactions), obtaining equi-distanced time intervals and testing for unit root and long memory properties. In additions, we apply this proposed library to simulate the power of traditional unit root methods such as the ADF test and long memory test method such as the R/S and to perform an empirical study. Finally, we explore the power of the ADF for testing data simulated from a threshold unit root model and simulate the percentiles of the null distribution of the following threshold unit root tests: WALD, LM, LR and W£f.

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A system with hysteresis is one that exhibits path dependent but rate independent memory. Hysteresis can be observed physically through the magnetization of a ferromagnetic material. In order to mathematically describe systems with hysteresis, we use the Preisach model. A discussion of the Preisach model is given as well as a method for computing the hysteretic transformation of an input variable. The focus of this paper is hysteresis in economics, namely, unemployment. We consider essential time series techniques for analyzing time series data, i.e. unit root testing for stationarity. However, we point out problems in modeling hysteresis with these techniques and argue that unit root tests cannot capture the selective memory of a system with hysteresis. For that, hysteresis in economic time series data is modeled using the Preisach model. We test the explanatory power of the previous unemployment rate on the current unemployment rate using both a hysteretic and non-hysteretic model. We find that the non-hysteretic model is better at explaining current unemployment rates, which suggests hysteresis is not present in the United States unemployment rate. / Master of Science

There are much economic and financial data which are restricted by some bounds, such as expenditure shares, unemployment, norminal interest rate, or target zone exchange rate. How to interpret and analyze time series whose behaviors can be well approximated by means of integrated processes, I(1), but are ¡§limited¡¨ in the sense that their range is constrained by fixed bounded is what this thesis develops. One method to analyze bounded variable of this paper is ¡§The Bounded Unit Root¡¨ which provided by Cavaliere (2005), and the other is using Gibbs sampling simulation and trying to recover the part of hidden variables. We would examin some empirical problems that has often been tackled in the literature and we give three time series which include Danish kron/Deutshe mark, Belgium Franc/ Deutshe mark, and Japan 1 mouth interbank interest rate for examples. We conclude that these three time series data are I(0) in classical unit root test framework, but are all I(1) in The Bounded Unit Root test framework. And the results of Gibbs sampling simulation are that Danish kron/Deutshe mark and Belgium Franc/ Deutshe mark are I(0), but Japan 1 mouth interbank interest rate is I(1).

Trade openness, market size, transparency, ease of doing business, location advantagesand low levels of corruption and country risk are the main determinants that attractForeign Direct Investment into a host country. FDI inflows in México have increasedremarkably since 1994 when the North America Free Trade Agreement (NAFTA) cameinto effect. Using multiple regression analysis in order to measure the impact of FDI onGDP; the Empirical results showed that a one percent increase in FDI leads on average toan increase of 0.08 percent in GDP which clearly reflects a positive but neither animportant nor a substantial impact of FDI on economic growth in México as it would beexpected. Time series data analysis for the period 1980-2007 has been tested for UnitRoot by applying the Dickey-Fuller (DF) test. Each time series after the first differencebecomes stationary and therefore it might be a causal relationship among the variables.However, FDI will not have a real impact on the society unless there is an effective stockof Human Capital capable of learning and absorbing the know-how to work successfullywith the technology that Multinational Corporations bring into the host country with theirinvestment. The challenge for the Mexican Government is to create structural reformssuch as the deregulation of energy and oil sector for private investment that will lead toconstantly higher flows of FDI. In the medium term this will then be reflected in thesociety in terms of poverty reduction and development of its population.

Abstract The main objective of our paper is to investigate whether expansion in exports can lead to improve economic growth of Sub-Saharan African countries for the period 1970-2006. Four macro economic indicators (real GDP, Trade balance, Government expenditure and Investment) are used in our model to carry out our analysis concerning Sub Saharan African countries. Time series techniques such as unit root test (Augmented Dickey Fuller test) and co integration test (Johansen’s procedure) are used to find out whether there is a long run relationship between economic growth and trade balance. The results of the unit root test indicate that all series are stationary after first difference, with I (1). Johansen’s co integration test showed that co integration (long run relationship) exists between GDP and Trade balance, as we got significant eigenvalues and found co integration between all of the four variables which shows that they are co integrated with each other and indicates a long run relationship. Our results indicate that for the time period of 1970 to 2006, Sub Saharan African countries experienced a simultaneous increase in economic growth and trade balance as well as in investment and Govt expenditure.   Key words: exports, economic growth, unit root, co integration, Sub-Saharan Africa

This paper investigates the purchasing power parity (PPP) hypothesis using panel data. Under PPP the real exchange rate is stationary around a constant mean. Recent panel data unit root tests are employed to test the PPP proposition where, under the conventional null hypothesis of a unit root, the real exchange rate is not stationary and PPP does not hold. In this case, as the time period t + n approaches infinity, its variance relative to period t will also approach infinity. The usual alternative in unit root tests is stationarity around a constant mean or a linear trend. The paper brings innovation into the PPP and panel unit root testing literature by allowing for possible nonlinear deterministic trends in the alternative hypothesis (as advanced by Cushman (2004)). If the null hypothesis is rejected in favour of the alternative of a non-linear trend, PPP still does not hold, but does at least revert back to a meaningful, stable long-run equilibrium. Given this non-linear trend, the variance of the real exchange rate as t + n approaches infinity, conditional on that trend, remains finite. Overall, evidence for stationarity in exchange rates is found in four out of six panels under consideration, including both support for stationary processes with no trend or a linear trend as well as for processes following a non-linear deterministic trend, in particular at time orders 5 and 6. The rejections are, in fact, most consistent at the nonlinear orders. Given nonlinear trends, PPP as usually defined does not hold, despite the rejection of unit roots. It is also found that stronger evidence for stable long-run equilibria in real exchange rates appears when the German Deutschmark is chosen as a base currency instead of the US Dollar. Finally, it appears that a very recent panel unit root test that takes account of cross-sectional dependencies delivers more consistent and sensible results.