Satoru Kanoh

A Method of Exploring the Mechanism of Inflationary Expectations Based on Qualitative Survey Data

The objective of this article is to propose a method of exploring the mechanism of expectation formation based on qualitative survey data. The survey data are regarded as a sample from a multinomial distribution whose parameters are time-variant functions of inflation expectations. The parameters are estimated using a Bayesian recursive approach, which is a generalization of the Kalman filtering technique. For illustrative purposes, the method is applied to Japanese data. One notable finding from the empirical analysis is that the expectation formation process of Japanese enterprises has varied greatly over time.

Statistical reconsideration of the epa diffusion index

Abstract The Diffusion Index (DI) is a convenient barometer to measure business conditions. However, the value of the DI crucially depends on the kinds of economic indicators included in it. By examining the last revision of the DI by the Economic Planning agency, this article casts doubt on the process of determining these indicators. Referring to most of the available survey data, the author develops a statistical analysis to show that: (i) peoples feelings on business conditions can be effectively summarized by five indicators, and (ii) both the current DI and the previous DI include certain arbitrary elements within them.

One-Sided Simultaneous Bounds in Linear Regression

Abstract This article discusses the one-sided simultaneous tolerance and confidence bounds in the linear regression model. We approach the problem from the area of test theory. The bounds are constructed by projecting a region of the test statistics, and we then propose a necessary and sufficient condition for obtaining a taut tolerance bound by the method. Finally, for illustrative purposes, we give several examples of one-sided simultaneous bounds with various shapes.