WEKO3
アイテム
{"_buckets": {"deposit": "e1e59e67-1ee7-4842-8617-f01f0b6dfcfb"}, "_deposit": {"id": "2008936", "owners": [1], "pid": {"revision_id": 0, "type": "depid", "value": "2008936"}, "status": "published"}, "_oai": {"id": "oai:u-ryukyu.repo.nii.ac.jp:02008936", "sets": ["1642838338003", "1642838405494"]}, "author_link": [], "item_1617186331708": {"attribute_name": "Title", "attribute_value_mlt": [{"subitem_1551255647225": "Bayesian analysis of a vector autoregressive model with multiple structural breaks", "subitem_1551255648112": "en"}]}, "item_1617186419668": {"attribute_name": "Creator", "attribute_type": "creator", "attribute_value_mlt": [{"creatorNames": [{"creatorName": "Sugita, Katsuhiro", "creatorNameLang": "en"}]}]}, "item_1617186476635": {"attribute_name": "Access Rights", "attribute_value_mlt": [{"subitem_1522299639480": "open access", "subitem_1600958577026": "http://purl.org/coar/access_right/c_abf2"}]}, "item_1617186626617": {"attribute_name": "Description", "attribute_value_mlt": [{"subitem_description": "This paper develops a Bayesian approach for analyzing a vector autoregressive model with multiple structural breaks based on MCMC simulation methods, extending a method developed for the univariate case by Wang and Zivot (2000). It derives the conditional posterior densities using an independent Normal-Wishart prior. The number of structural breaks is chosen by the posterior model probability based on the marginal likelihood, calculated here by the method of Chib (1995) rather than the Gelfand-Dey (1994) method used by Wang and Zivot. Monte Carlo simulations demonstrate that the approach provides generally accurate estimation for the number of structural breaks as well as their locations.", "subitem_description_type": "Other"}, {"subitem_description": "論文", "subitem_description_type": "Other"}]}, "item_1617186643794": {"attribute_name": "Publisher", "attribute_value_mlt": [{"subitem_1522300295150": "en", "subitem_1522300316516": "Economics Bulletin"}]}, "item_1617186702042": {"attribute_name": "Language", "attribute_value_mlt": [{"subitem_1551255818386": "eng"}]}, "item_1617186783814": {"attribute_name": "Identifier", "attribute_value_mlt": [{"subitem_identifier_type": "HDL", "subitem_identifier_uri": "http://hdl.handle.net/20.500.12000/38710"}]}, "item_1617186920753": {"attribute_name": "Source Identifier", "attribute_value_mlt": [{"subitem_1522646500366": "ISSN", "subitem_1522646572813": "1545-2921"}]}, "item_1617186941041": {"attribute_name": "Source Title", "attribute_value_mlt": [{"subitem_1522650068558": "en", "subitem_1522650091861": "Economics Bulletin"}]}, "item_1617187056579": {"attribute_name": "Bibliographic Information", "attribute_value_mlt": [{"bibliographicIssueDates": {"bibliographicIssueDate": "2008-04-14", "bibliographicIssueDateType": "Issued"}, "bibliographicIssueNumber": "22", "bibliographicPageEnd": "7", "bibliographicPageStart": "1", "bibliographicVolumeNumber": "3"}]}, "item_1617258105262": {"attribute_name": "Resource Type", "attribute_value_mlt": [{"resourcetype": "journal article", "resourceuri": "http://purl.org/coar/resource_type/c_6501"}]}, "item_1617265215918": {"attribute_name": "Version Type", "attribute_value_mlt": [{"subitem_1522305645492": "VoR", "subitem_1600292170262": "http://purl.org/coar/version/c_970fb48d4fbd8a85"}]}, "item_1617353299429": {"attribute_name": "Relation", "attribute_value_mlt": [{"subitem_1522306287251": {"subitem_1522306382014": "URI", "subitem_1522306436033": "http://www.accessecon.com/pubs/EB/default.aspx?page=Currentcontent\u0026Show=Vol\u0026Value=3"}}]}, "item_1617605131499": {"attribute_name": "File", "attribute_type": "file", "attribute_value_mlt": [{"accessrole": "open_access", "download_preview_message": "", "file_order": 0, "filename": "EB-07C10006A.pdf", "future_date_message": "", "is_thumbnail": false, "mimetype": "", "size": 0, "url": {"objectType": "fulltext", "url": "https://u-ryukyu.repo.nii.ac.jp/record/2008936/files/EB-07C10006A.pdf"}, "version_id": "72725745-076e-4717-ba34-c0d3a52a0974"}]}, "item_title": "Bayesian analysis of a vector autoregressive model with multiple structural breaks", "item_type_id": "15", "owner": "1", "path": ["1642838338003", "1642838405494"], "permalink_uri": "http://hdl.handle.net/20.500.12000/38710", "pubdate": {"attribute_name": "PubDate", "attribute_value": "2018-03-09"}, "publish_date": "2018-03-09", "publish_status": "0", "recid": "2008936", "relation": {}, "relation_version_is_last": true, "title": ["Bayesian analysis of a vector autoregressive model with multiple structural breaks"], "weko_shared_id": -1}
Bayesian analysis of a vector autoregressive model with multiple structural breaks
http://hdl.handle.net/20.500.12000/38710
http://hdl.handle.net/20.500.12000/38710e009cdcd-ec2e-4de5-a32c-318d578b0de6
名前 / ファイル | ライセンス | アクション |
---|---|---|
EB-07C10006A.pdf
|
|
Item type | デフォルトアイテムタイプ(フル)(1) | |||||||
---|---|---|---|---|---|---|---|---|
公開日 | 2018-03-09 | |||||||
タイトル | ||||||||
タイトル | Bayesian analysis of a vector autoregressive model with multiple structural breaks | |||||||
言語 | en | |||||||
作成者 |
Sugita, Katsuhiro
× Sugita, Katsuhiro
|
|||||||
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 develops a Bayesian approach for analyzing a vector autoregressive model with multiple structural breaks based on MCMC simulation methods, extending a method developed for the univariate case by Wang and Zivot (2000). It derives the conditional posterior densities using an independent Normal-Wishart prior. The number of structural breaks is chosen by the posterior model probability based on the marginal likelihood, calculated here by the method of Chib (1995) rather than the Gelfand-Dey (1994) method used by Wang and Zivot. Monte Carlo simulations demonstrate that the approach provides generally accurate estimation for the number of structural breaks as well as their locations. | |||||||
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/20.500.12000/38710 | |||||||
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/default.aspx?page=Currentcontent&Show=Vol&Value=3 | |||||||
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 3, 号 22, p. 1-7, 発行日 2008-04-14 |