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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 TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionUniversity 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.

Report

(4 results)
  • 2011 Annual Research Report   Final Research Report ( PDF )
  • 2010 Annual Research Report
  • 2009 Annual Research Report
  • Research Products

    (2 results)

All 2009

All Journal Article (2 results) (of which Peer Reviewed: 1 results)

  • [Journal Article] A Monte Carlo comparison of Bayesian testing for cointegration rank2009

    • Author(s)
      杉田勝弘
    • Journal Title

      Economics Bulletin 29

      Pages: 2141-2147

    • NAID

      120006407217

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 時系列における構造変化検定法のシミュレーションによる比較2009

    • Author(s)
      杉田勝弘
    • Journal Title

      琉球大学法文学部経済学研究 第78号

      Pages: 25-41

    • NAID

      120001755936

    • Related Report
      2009 Annual Research Report

URL: 

Published: 2009-04-01   Modified: 2016-04-21  

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