Bayesian Analysis of Multivariate Time Series Model including unobserved data and its application to macro economic analysis

Research Project

Project/Area Number	21530201
Research Category	Grant-in-Aid for Scientific Research (C)
Allocation Type	Single-year Grants
Section	一般
Research Field	Economic statistics
Research Institution	University of the Ryukyus
Principal Investigator	SUGITA Katsuhiro 琉球大学, 法文学部, 准教授 (50377058)
Project Period (FY)	2009 – 2011
Project Status	Completed (Fiscal Year 2011)
Budget Amount *help	¥3,510,000 (Direct Cost: ¥2,700,000、Indirect Cost: ¥810,000) Fiscal Year 2011: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000) Fiscal Year 2010: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000) Fiscal Year 2009: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Keywords	計量経済学 / 多変量時系列分析 / ベイズ法 / MCMC / 共和分 / 時系列分析 / 多変量分析 / マルコフ連鎖モンテカルロ法 / 経済統計学 / 計算経済学
Research Abstract	I investigated econometric analysis of time series data using a recently developed method called "Bayesian approach", and applied the approach to macro economic analysis. We consider a Markov switching model, a model with multiple structural breaks, and a model with unobserved risk premium, and found that these models are more realistic and useful to analyse.