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平成15年度(第11回)関西計量経済学研究会 2004年1月10日(土)

    平成15年度担当 神戸大学

    共催:日本統計学会「計量経済・計量ファイナンス」分科会

    10:30 - 12:10 座長:羽森(神戸大)

    o 末石直也 (京都大学大学院経済学研究科)
      離散観測に基づく拡散過程の推定
    o Tetsuya Horie (Grad School of Econ, Kobe Univ.) and Mitoshi Yamaguchi (Grad. School of Econ., Kobe Univ.)
      "Productivity Growth and Technical Change in Japanese Agriculture: 1965-1995"
    o 劉慶豊 (京都大学大学院経済学研究科)
      心理要素を取り入れた新しいARCH型モデル
    o Kazuhiko Kakamu (Grad. School of Econ., Osaka Univ.) and Mototsugu
      Fukushige (Grad. School of Econ., Osaka Univ.)
      "Productivity Convergence in Urban Manufacturing Industries from the Japan's MEA Data"

    13:00 - 14:40 座長: 谷崎(神戸大)

    o 金谷太郎 (京都大学大学院経済学研究科)
      "Integrated Volatility Measuring from Unevenly Sampled Observations"
    o 森本孝之 (広島大学社会科学研究科)
      "Estimating and Forcasting Instantenous Volatility through a Duration Model"
    o 鷹岡澄子 (京都大学経済学研究科)
      "Inter-Industry Differences of R&D Spillovers and Innovation Diversity in Japan"
    o Hisashi Tanizaki (Graduate School of Economics, Kobe University)
      "On the Asymmetry, Holiday and Day-of-the-Week Effects in the Volatility of Daily Stock Returns: The Case of Japan"

    14:50 - 16:30 座長:大谷(神戸大)

    o Atsushi Yoshida (Institute of Policy and Planning Sciences,
      University of Tsukuba) and Tatsuhiro Shichijo (Osaka Prefecture University)
      "Spatial Clustering of Housing Construction in the Tokyo Metropolitan Area:
       An Application of Spatially Clustered Fixed-Effects and Spatially Correlated Random-Effects Models"
    o Yoshihiko Nishiyama (Kyoto Institute of Economic Research, Kyoto Univ.)
      S. Osada
      "Statistical Theory of Rank Size Rule Regression under Pareto Distribution"
    o Manabu Asai (Faculty of Economics, Tokyo Metropolitan University) and
      Michael McAleer (Department of Economics, University of Western Australia)
      "Dynamic Leverage and Threshold Effects in Stochastic Volatility Models"
    o 大屋幸輔 (大阪大学大学院経済学研究科)
      順序付きカテゴリー説明変数をもつポアソン回帰モデル

    16:40 - 18:20 座長:松林(神戸大)

    o 北沢良継 (九州産業大学経済学部)
      "Some Examples of Estimations for Dynamic Panel Data Models Using TSP"
    o Toshinobu Matsuda (Dept of Agricultural Management and Information Science)
      "Box-Cox Consumer Demand Systems Nesting the Almost Ideal Model"
    o Takashi Matsuki (Osaka Gakuin University, Faculty of Economics)
      "Behavior of Dickey-Fuller Tests in the Presence of Two Breaks under the Unit Root Null Hypothesis"
    o Jiro Hodoshima (Graduate School of Economics, Nagoya City University)
      "On Weak Exogeneity of the Student's t and Elliptical Linear Regression Models"

    18:30 - 20:30 懇親会 (立食形式) アカデミア館 3階「さくら」