Bayesian Analysis of Multivariate Time Series Model including unobserved data and its application to macro economic analysis
| 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 |
|
|---|
| 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.
|
Report
(4 results)
Research Products
(2 results)
