2011 Fiscal Year Final Research Report
Bayesian Analysis of Multivariate Time Series Model including unobserved data and its application to macro economic analysis
| Project/Area Number |
21530201
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Economic statistics
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| Research Institution | University of the Ryukyus |
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Principal Investigator |
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| Project Period (FY) |
2009 – 2011
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| Keywords | 計量経済学 / 多変量時系列分析 / ベイズ法 / MCMC / 共和分 |
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| 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.
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