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Statistical Inference in Markov Switching Vector Error Correction Model Using a Markov Chain Monte Carlo Method
https://doi.org/10.24564/0002008494
https://doi.org/10.24564/0002008494bcd99b4b-5fff-4c63-af63-4cdc5837b8da
名前 / ファイル | ライセンス | アクション |
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No92p37.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 | Statistical Inference in Markov Switching Vector Error Correction Model Using a Markov Chain Monte Carlo Method | |||||||||
言語 | en | |||||||||
作成者 |
Sugita, Katsuhiro
× Sugita, Katsuhiro
× 杉田, 勝弘
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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 | This paper introduces statistical inference in a Markov switching vector error correction model using a Markov chain Monte Carlo method. The proposed model allows for regime shifts in the deterministic terms, the lag terms, the adjustment terms and the variance-covariance matrix. The proposed method allows for estimation of the cointegrating vector within a nonlinear framework through a collapsed Gibbs sampling. We apply the proposed model to U.S. term structure of interest rates. | |||||||||
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/20.500.12000/36147 | |||||||||
識別子タイプ | HDL | |||||||||
ID登録 | ||||||||||
ID登録 | 10.24564/0002008494 | |||||||||
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. 37-63, 発行日 2016-09-30 |