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Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks
http://hdl.handle.net/10086/16988
http://hdl.handle.net/10086/16988e9b34fb0-183c-4e99-945b-d48ea3c75fc6
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
070econDP06-14.pdf (256078 bytes)
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| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2017-05-20 | |||||||||
| タイトル | ||||||||||
| タイトル | Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks | |||||||||
| 言語 | en | |||||||||
| 作成者 |
杉田, 勝弘
× 杉田, 勝弘
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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 | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Bayesian inference | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Structural break | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Cointegration | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | Bayes factor | |||||||||
| 出版者 | ||||||||||
| 出版者 | Graduate School of Economics, Hitotsubashi University | |||||||||
| 日付 | ||||||||||
| 日付 | 2006-11 | |||||||||
| 日付タイプ | Issued | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||
| 資源タイプ | technical report | |||||||||
| 出版タイプ | ||||||||||
| 出版タイプ | VoR | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
| 関連情報 | ||||||||||
| 関連タイプ | isPartOf | |||||||||
| 関連名称 | Discussion papers ; No. 2006-14 | |||||||||
| ページ数 | ||||||||||
| ページ数 | 58 | |||||||||
| JEL | ||||||||||
| 値 | C11 | |||||||||
| JEL | ||||||||||
| 値 | C12 | |||||||||
| JEL | ||||||||||
| 値 | C32 | |||||||||
| 抄録（第三者提供不可） | ||||||||||
| 値 | This paper considers a vector autoregressive model or a vector error correction model with multiple structural breaks in any subset of parameters, using a Bayesian approach with Markov chain Monte Carlo simulation technique. The number of structural breaks is determined as a sort of model selection by the posterior odds. For a cointegrated model, cointegrating rank is also allowed to change with breaks. Bayesian approach by Strachan (Journal of Business and Economic Statistics 21 (2003) 185) and Strachan and Inder (Journal of Econometrics 123 (2004) 307) are applied to estimate the cointegrating vectors. As empirical examples, we investigate structural changes in the predictive power of the yield curve and the US term structure of interest rates. We find strong evidence of three structural changes in both applications. | |||||||||
