|YAJIMA, Yoshihiro||Personal Homepage|
|Faculty of Economics,
The University of Tokyo,
7-3-1 Hongo, Bunkyo-ku, Tokyo, 113-0033
|yajima at e.u-tokyo.ac.jp
Please replace "at" with@
|Statistical Science, Econometrics, Spatio-Temporal Econometrics|
|I have been studying statistical inference on a long memory time series model and its application to empirical economic data. Recently I have been studying statistical inference on spatial-temporal time series models, too.
More specifically for a long memory model I have considered estimation of autocorrelation functions with missing observations, asymptotic properties of nonparametric frequency domain predictors, asymptotic properties of semiparametric estimation of fractional difference parameters, and a generalization of cointegration.
For a spatial-temporal model, I considered estimation and testing of a model that takes into account spatial correlation and temporal correlation simultaneously.