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Forecasting with Vector Autoregressions by Bayesian Model Averaging
http://hdl.handle.net/20.500.12000/44627
http://hdl.handle.net/20.500.12000/44627cbf10aeb-bd40-41a0-8c89-c4703893a4ae
名前 / ファイル | ライセンス | アクション |
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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 | 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
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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 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 | ||||||||
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/20.500.12000/44627 | |||||||
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 | |||||||
収録物名 | ||||||||
言語 | en | |||||||
収録物名 | Ryukyu Economics Working Paper Series | |||||||
書誌情報 |
号 REWP#03, p. 1-13, 発行日 2019-06-25 |