{"created":"2022-01-31T07:57:10.831500+00:00","id":2010037,"links":{},"metadata":{"_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":["1642838403123:1670479525511","1642838403551:1642838404033"]},"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":"プレプリント","subitem_description_type":"Other"}]},"item_1617186643794":{"attribute_name":"Publisher","attribute_value_mlt":[{"subitem_1522300295150":"ja","subitem_1522300316516":"琉球大学国際地域創造学部経済学プログラム"},{"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":"琉球大学経済学ワーキングペーパーシリーズ"},{"subitem_1522650068558":"en","subitem_1522650091861":"Ryukyu Economics Working Paper Series"}]},"item_1617187056579":{"attribute_name":"Bibliographic Information","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2018-09-21","bibliographicIssueDateType":"Issued"},"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","filename":"2018-08_WP01_SSVS-VAR-Sim.pdf","mimetype":"application/pdf","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":["1670479525511","1642838404033"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2018-09-21"},"publish_date":"2018-09-21","publish_status":"0","recid":"2010037","relation_version_is_last":true,"title":["Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression"],"weko_creator_id":"1","weko_shared_id":-1},"updated":"2023-08-03T05:47:32.155932+00:00"}