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Model Selection for a Markov Switching Vector Error Correction Model Using the Marginal Likelihood
https://doi.org/10.24564/0002008493
https://doi.org/10.24564/000200849363f48e45-4d80-4c1a-a40f-f7446ba25ccf
名前 / ファイル | ライセンス | アクション |
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No92p27.pdf
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Item type | デフォルトアイテムタイプ(フル)(1) | |||||||||
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公開日 | 2017-01-25 | |||||||||
タイトル | ||||||||||
タイトル | Model Selection for a Markov Switching Vector Error Correction Model Using the Marginal Likelihood | |||||||||
言語 | en | |||||||||
作成者 |
杉田, 勝弘
× 杉田, 勝弘
× Sugita, Katsuhiro
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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 | |||||||||
内容記述 | ||||||||||
内容記述タイプ | Other | |||||||||
内容記述 | In this paper we consider model selection for a Markov switching vector error correction model. We apply the algorithm proposed by Chib (1995) to calculate the marginal likelihood and the Bayes factors for this model to select the most appropriate model among all models under consideration. We perform a simple Monte Carlo simulation to illustrate the performances of the method for model selection. | |||||||||
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 | |||||||||
出版者 | ||||||||||
言語 | en | |||||||||
出版者 | Faculty of Law and Letters University of the Ryukyus | |||||||||
言語 | ||||||||||
言語 | eng | |||||||||
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/20.500.12000/36146 | |||||||||
識別子タイプ | HDL | |||||||||
ID登録 | ||||||||||
ID登録 | 10.24564/0002008493 | |||||||||
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=Ryukyu University Economic Review | |||||||||
書誌情報 |
号 92, p. 27-36, 発行日 2016-09-30 |