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Testing for Cointegration Rank Using Bayes Factors
https://doi.org/10.24564/0002004135
https://doi.org/10.24564/00020041353299a4cf-64d2-45ef-8b51-2c837ba47db1
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
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
× Sugita, Katsuhiro
|
|||||||||
| 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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