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Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression
http://hdl.handle.net/20.500.12000/42446
http://hdl.handle.net/20.500.12000/4244640f25281-875a-48db-a451-2539ae6be39e
名前 / ファイル | ライセンス | アクション |
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2018-08_WP01_SSVS-VAR-Sim.pdf
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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 | 2018-09-21 | |||||||
タイトル | ||||||||
タイトル | Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression | |||||||
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 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. | |||||||
内容記述 | ||||||||
内容記述タイプ | Other | |||||||
内容記述 | プレプリント | |||||||
出版者 | ||||||||
言語 | ja | |||||||
出版者 | 琉球大学国際地域創造学部経済学プログラム | |||||||
出版者 | ||||||||
言語 | en | |||||||
出版者 | Economics Program, Faculty of Global and Regional Studies, University of the Ryukyus | |||||||
言語 | ||||||||
言語 | eng | |||||||
資源タイプ | ||||||||
資源タイプ | other | |||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_1843 | |||||||
出版タイプ | ||||||||
出版タイプ | AO | |||||||
出版タイプResource | http://purl.org/coar/version/c_b1a7d7d4d402bcce | |||||||
識別子 | ||||||||
識別子 | http://hdl.handle.net/20.500.12000/42446 | |||||||
識別子タイプ | HDL | |||||||
収録物名 | ||||||||
言語 | ja | |||||||
収録物名 | 琉球大学経済学ワーキングペーパーシリーズ | |||||||
収録物名 | ||||||||
言語 | en | |||||||
収録物名 | Ryukyu Economics Working Paper Series | |||||||
書誌情報 |
号 REWP#01, p. 1-19, 発行日 2018-09-21 |