Co-trending: A Statistical System Analysis of Economic Trends
In macro-econometrics more attention needs to be paid to the relationships among deterministic trends of different variables, or co-trending, especially when economic growth is of concern. The number of relationships, i.e., the co-trending rank, plays an
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M. Hatanaka, H. Yamada
Co-trending: A Statistical System Analysis of Economic Trends
Springer
Michio Hatanaka Professor Emeritus, Osaka University 1-30-12 Kichijoji Kita-machi, Musashino Tokyo 180-0001, Japan Hiroshi Yamada Associate Professor, Faculty of Economics, Hiroshima University 1-2-1 Kagamiyama, Higashi-Hiroshima Hiroshima 739-8525, Japan
Publication of this book was supported by a Grant-in-Aid from the Zengin Foundation for Studies on Economics and Finance.
ISBN 978-4-431-65914-3 ISBN 978-4-431-65912-9 (eBook) DOI 10.1007/978-4-431-65912-9
Library of Congress Cataloging-in-Publication Data Hatanaka, Michio. Co-trending: a statistical system analysis of economic trends / M. Hatanaka, H. Yamada. p.cm. Includes bibliographical references. 1. Econometrics. 2. Cointegration. 3. Economic forecasting--Statistical methods. 4. Japan--Economic conditions--1945---Econometric models. 1. Yamada, H. (Hiroshi), 1967II. Title. HBI39.H3782003 330' .01 '5 I 95--dc22 Printed on acid-free paper © Springer-Verlag Tokyo 2003
Softcover reprint of the hardcover 18t edition 2003 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in other ways, and storage in data banks. The use of registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Authors SPIN: 10932346
Preface
In this book new econometric methods are developed to investigate the relations among deterministic trend components in different variables. Needs for such methods have seldom been appreciated in macroeconometrics, but we believe that they contribute to analyses of the unique history of the Japanese macroeconomy since World War II. As is well known, the growth rate has declined through this period. However the decline has not been steady, but concentrated in two periods: 197173 and 1990-92. In other words, the deterministic trends in logarithmic scales are not linear, but subjected to structural changes that occurred in these two periods. How such trends could have been generated is an intriguing question. If economic hypotheses are provided with intelligent insight, the reality of such hypotheses can be examined by our econometric methods, contributing to finding answers to this question. The book is entitled co-trending because we have adapted the conceptual framework of cointegration for our analysis of deterministic trends. In Chapter 2 we have defined the cq-trending rank, r, in two versions of framework. In the first version no specific functions of time are assumed on the deterministic trends, and the orders of trends expressed by power functions of sample size are compared between the original variables and their linear combinations. This version is called the non-parametr
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