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Forecasting with Vector Autoregressions by Bayesian Model Averaging

http://hdl.handle.net/20.500.12000/44627
http://hdl.handle.net/20.500.12000/44627
cbf10aeb-bd40-41a0-8c89-c4703893a4ae
名前 / ファイル ライセンス アクション
WP2019-06_REWP03.pdf WP2019-06_REWP03.pdf
Item type デフォルトアイテムタイプ(フル)(1)
公開日 2019-06-25
タイトル
タイトル Forecasting with Vector Autoregressions by Bayesian Model Averaging
言語 en
作成者 Sugita, Katsuhiro

× Sugita, Katsuhiro

en 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 examines how vector autoregression model by Bayesian model averaging method can improve forecasting performance. Bayesian model averaging selects significant variables in vector autoregression model that contains many insignificant variables, and thus alleviates over-parameterization problem. For empirical application, macroeconomic data for three countries - US, UK and Japan - are examined. I find that the Bayesian model averaging method can improve forecasting performance.
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
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/20.500.12000/44627
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
書誌情報
号 REWP#03, p. 1-13
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