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  1. 紀要論文
  2. 琉球大学經濟研究
  3. 92号
  1. 部局別インデックス
  2. 法文学部

Statistical Inference in Markov Switching Vector Error Correction Model Using a Markov Chain Monte Carlo Method

http://hdl.handle.net/20.500.12000/36147
http://hdl.handle.net/20.500.12000/36147
bcd99b4b-5fff-4c63-af63-4cdc5837b8da
名前 / ファイル ライセンス アクション
No92p37.pdf No92p37.pdf
Item type デフォルトアイテムタイプ(フル)(1)
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

en Sugita, Katsuhiro

杉田, 勝弘

× 杉田, 勝弘

ja 杉田, 勝弘

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 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
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
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