{"_buckets": {"deposit": "1b532c3e-0895-4882-a6f9-4e9652f75790"}, "_deposit": {"id": "2010037", "owners": [1], "pid": {"revision_id": 0, "type": "depid", "value": "2010037"}, "status": "published"}, "_oai": {"id": "oai:u-ryukyu.repo.nii.ac.jp:02010037", "sets": ["1642838403123", "1642838404033"]}, "author_link": [], "item_1617186331708": {"attribute_name": "Title", "attribute_value_mlt": [{"subitem_1551255647225": "Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression", "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 examines forecasting performance of a vector autoregressive (VAR) model by a Bayesian stochastic search variable selection (SSVS) method. We use several artificially generated data sets to evaluate forecasting performance using a direct multiperiod forecasting method with a recursive forecasting exercise. We find that implementing SSVS prior in a VAR improves forecasting performance over unrestricted VAR models for either non-stationary or stationary data. As an illustration of a VAR model with SSVS prior, we investigate US macroeconomic data sets with three variables using a VAR with lag length of ten, and find that the SSVS restrictions on insignificant parameters alleviates over-parameterized problem of VAR and thus offers an appreciable improvement in forecast performance.", "subitem_description_type": "Other"}, {"subitem_description": "\u30d7\u30ec\u30d7\u30ea\u30f3\u30c8", "subitem_description_type": "Other"}]}, "item_1617186643794": {"attribute_name": "Publisher", "attribute_value_mlt": [{"subitem_1522300295150": "ja", "subitem_1522300316516": "\u7409\u7403\u5927\u5b66\u56fd\u969b\u5730\u57df\u5275\u9020\u5b66\u90e8\u7d4c\u6e08\u5b66\u30d7\u30ed\u30b0\u30e9\u30e0"}, {"subitem_1522300295150": "en", "subitem_1522300316516": "Economics Program, Faculty of Global and Regional Studies, University of the Ryukyus"}]}, "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/20.500.12000/42446"}]}, "item_1617186941041": {"attribute_name": "Source Title", "attribute_value_mlt": [{"subitem_1522650068558": "ja", "subitem_1522650091861": "\u7409\u7403\u5927\u5b66\u7d4c\u6e08\u5b66\u30ef\u30fc\u30ad\u30f3\u30b0\u30da\u30fc\u30d1\u30fc\u30b7\u30ea\u30fc\u30ba"}, {"subitem_1522650068558": "en", "subitem_1522650091861": "Ryukyu Economics Working Paper Series"}]}, "item_1617187056579": {"attribute_name": "Bibliographic Information", "attribute_value_mlt": [{"bibliographicIssueNumber": "REWP#01", "bibliographicPageEnd": "19", "bibliographicPageStart": "1"}]}, "item_1617258105262": {"attribute_name": "Resource Type", "attribute_value_mlt": [{"resourcetype": "other", "resourceuri": "http://purl.org/coar/resource_type/c_1843"}]}, "item_1617265215918": {"attribute_name": "Version Type", "attribute_value_mlt": [{"subitem_1522305645492": "AO", "subitem_1600292170262": "http://purl.org/coar/version/c_b1a7d7d4d402bcce"}]}, "item_1617605131499": {"attribute_name": "File", "attribute_type": "file", "attribute_value_mlt": [{"accessrole": "open_access", "download_preview_message": "", "file_order": 0, "filename": "2018-08_WP01_SSVS-VAR-Sim.pdf", "future_date_message": "", "is_thumbnail": false, "mimetype": "", "size": 0, "url": {"objectType": "fulltext", "url": "https://u-ryukyu.repo.nii.ac.jp/record/2010037/files/2018-08_WP01_SSVS-VAR-Sim.pdf"}, "version_id": "5a2e213d-adc6-48d9-95f3-b7403099a985"}]}, "item_title": "Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression", "item_type_id": "15", "owner": "1", "path": ["1642838403123", "1642838404033"], "permalink_uri": "http://hdl.handle.net/20.500.12000/42446", "pubdate": {"attribute_name": "PubDate", "attribute_value": "2018-09-21"}, "publish_date": "2018-09-21", "publish_status": "0", "recid": "2010037", "relation": {}, "relation_version_is_last": true, "title": ["Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression"], "weko_shared_id": -1}