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  1. 紀要論文
  2. 琉球大学經濟研究
  3. 76号
  1. 部局別インデックス
  2. 法文学部

Testing for Cointegration Rank Using Bayes Factors

https://doi.org/10.24564/0002004135
https://doi.org/10.24564/0002004135
3299a4cf-64d2-45ef-8b51-2c837ba47db1
名前 / ファイル ライセンス アクション
No76p51.pdf No76p51.pdf
Item type デフォルトアイテムタイプ(フル)(1)
公開日 2008-10-16
タイトル
タイトル Testing for Cointegration Rank Using Bayes Factors
言語 en
作成者 杉田, 勝弘

× 杉田, 勝弘

ja 杉田, 勝弘

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Sugita, Katsuhiro

× Sugita, Katsuhiro

en Sugita, Katsuhiro

Search repository
アクセス権
アクセス権 open access
アクセス権URI http://purl.org/coar/access_right/c_abf2
主題
言語 en
主題Scheme Other
主題 Cointegration
主題
言語 en
主題Scheme Other
主題 MCMC
主題
言語 en
主題Scheme Other
主題 Bayes factor
内容記述
内容記述タイプ Other
内容記述 This paper proposes Bayesian methods for estimating the cointegration rank using Bayes factors. We consider natural conjugate priors for computing Bayes factors. First, we estimate the cointegrating vectors for each possible rank. Then, we compute the Bayes factors for each rank against 0 rank. Monte Carlo simulations show that using Bayes factor with conjugate priors produces fairly good results. The methods proposed here are also applied for selecting the appropriate lags and testing for over-identifying restrictions on cointegrating vectors.
内容記述
内容記述タイプ Other
内容記述 紀要論文
出版者
言語 ja
出版者 琉球大学法文学部
言語
言語 jpn
資源タイプ
資源タイプ departmental bulletin paper
資源タイプ識別子 http://purl.org/coar/resource_type/c_6501
出版タイプ
出版タイプ VoR
出版タイプResource http://purl.org/coar/version/c_970fb48d4fbd8a85
識別子
識別子 http://hdl.handle.net/20.500.12000/7488
識別子タイプ HDL
ID登録
ID登録 10.24564/0002004135
ID登録タイプ JaLC
収録物識別子
収録物識別子タイプ ISSN
収録物識別子 0557-580X
収録物識別子
収録物識別子タイプ NCID
収録物識別子 AN00250468
収録物名
言語 ja
収録物名 琉球大学経済研究
書誌情報
号 76, p. 51-66, 発行日 2008-09
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