| Presentation | 2010-12-02 Applying the Nonlinear Functional Approximation based on the Genetic Programming for the Vector Autoregressive Models under Sign Restrictions of Impulse Response Functions Shozo TOKINAGA, Yoshikazu IKEDA, |
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| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | For the problems imposing sign restriction on impulse response, the Vector Auto-regression Analysis (VAR) has been applied. This paper deals with applying the nonlinear functional approximation based on the Genetic Programming (GP) for the VAR models under sign restrictions of impulse response functions We show the problem formulation for the sign restriction on impulse (shocks) response, especially for VAR models. Then, we extend these linear models to nonlinear ones where we use the GP for the approximation of functions. As applications, we compare the results of nonlinear VAR analysis with the results obtained by ordinary linear VAR analysis. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Nonlinear VAR model / Genetic Programming / Shock responses / Sign restriction on response / Time series |
| Paper # | SIS2010-40 |
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| Committee | SIS |
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| Conference Date | 2010/11/25(1days) |
| Place (in Japanese) | (See Japanese page) |
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| Topics (in Japanese) | (See Japanese page) |
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| Registration To | Smart Info-Media Systems (SIS) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Applying the Nonlinear Functional Approximation based on the Genetic Programming for the Vector Autoregressive Models under Sign Restrictions of Impulse Response Functions |
| Sub Title (in English) | |
| Keyword(1) | Nonlinear VAR model |
| Keyword(2) | Genetic Programming |
| Keyword(3) | Shock responses |
| Keyword(4) | Sign restriction on response |
| Keyword(5) | Time series |
| 1st Author's Name | Shozo TOKINAGA |
| 1st Author's Affiliation | Graduate School of Economics, Kyushu University() |
| 2nd Author's Name | Yoshikazu IKEDA |
| 2nd Author's Affiliation | Economics and Business administration, The University of Kitakyushu |
| Date | 2010-12-02 |
| Paper # | SIS2010-40 |
| Volume (vol) | vol.110 |
| Number (no) | 322 |
| Page | pp.pp.- |
| #Pages | 6 |
| Date of Issue | |