@article{oai:u-ryukyu.repo.nii.ac.jp:02008494,
 author = {Sugita, Katsuhiro and 杉田, 勝弘},
 issue = {92},
 journal = {琉球大学経済研究＝Ryukyu University Economic Review},
 month = {Sep},
 note = {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., 紀要論文},
 pages = {37--63},
 title = {Statistical Inference in Markov Switching Vector Error Correction Model Using a Markov Chain Monte Carlo Method},
 year = {2016}
}