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A Monte Carlo comparison of Bayesian testing for cointegration rank
http://hdl.handle.net/20.500.12000/38709
http://hdl.handle.net/20.500.12000/38709a75ab178-4370-49eb-b1e6-10e32682fb24
名前 / ファイル | ライセンス | アクション |
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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 | 2018-03-09 | |||||||
タイトル | ||||||||
タイトル | A Monte Carlo comparison of Bayesian testing for cointegration rank | |||||||
言語 | en | |||||||
作成者 |
Sugita, Katsuhiro
× 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 | This article considers a Bayesian testing for cointegration rank, using an approach developed by Strachan and van Dijk (2007), that is based on Koop, Leon-Gonzalez, and Strachan (2006). The Bayes factors are calculated for selecting cointegrating rank. We calculate the Bayes factors using two methods - the Schwarz BIC approximation and Chib's (1995) algorithm for calculating the marginal likelihood. We run Monte Carlo simulations to compare the two methods. | |||||||
内容記述 | ||||||||
内容記述タイプ | Other | |||||||
内容記述 | 論文 | |||||||
出版者 | ||||||||
言語 | en | |||||||
出版者 | Economics Bulletin | |||||||
言語 | ||||||||
言語 | eng | |||||||
資源タイプ | ||||||||
資源タイプ | journal article | |||||||
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/20.500.12000/38709 | |||||||
識別子タイプ | HDL | |||||||
関連情報 | ||||||||
識別子タイプ | URI | |||||||
関連識別子 | http://www.accessecon.com/pubs/EB/ | |||||||
収録物識別子 | ||||||||
収録物識別子タイプ | ISSN | |||||||
収録物識別子 | 1545-2921 | |||||||
収録物名 | ||||||||
言語 | en | |||||||
収録物名 | Economics Bulletin | |||||||
書誌情報 |
巻 29, 号 3, p. 2145-2151, 発行日 2009-09-02 |