経済統計ワークショップ/CFEEセミナー

日時	2025年10月24日(金) 17:10−18:40
場所	西キャンパス本館3４番教室
講演者1:	中島上智(一橋大学・経済研究所) "Estimating trend inflation in a regime-switching Phillips curve" 概要:This study develops a regime-switching Phillips curve model to estimate trend inflation. Extending the earlier work, we allow trend inflation, the slope of the Phillips curve, and the oil price pass-through rate to follow a regime-switching process. An empirical analysis using Japan's consumer price index illustrates that including the oil price and its time-varying pass-through rate improves the model's ability to forecast inflation.
講演者2:	小池孝明(一橋大学・経済) "Maximal autocorrelation" 概要:Quantifying dependence is a central theme in statistics. Classical measures such as Pearson's correlation coefficient, Spearman's rho, Kendall's tau, and more recent Chatterjee's correlation illustrate that an appropriate concept of dependence and its quantification depend on the context and purpose. For the situation where marginal distributions are assumed to be identical, we propose a new measure of dependence which is invariant under any identical transformation applied to both marginals. We call this measure the maximal autocorrelation coefficient. This coefficient can be viewed as a variant of the well-known Renyi's maximal correlation, specialized to the case of identical marginals. When the marginals are continuous, this measure depends only on the underlying copula. Based on the discretization of transformations, we develop an algorithm to compute this maximal autocorrelation. To demonstrate the usefulness of this measure, we provide an application of this correlation coefficient to detect hidden serial dependence structures in time series.
言語	日本語
幹事	本田敏雄 [経済学研究科]