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No.92 (2016/9) >

Title :Model Selection for a Markov Switching Vector Error Correction Model Using the Marginal Likelihood
Authors :杉田, 勝弘
Authors alternative :Sugita, Katsuhiro
Issue Date :30-Sep-2016
Abstract :In this paper we consider model selection for a Markov switching vector error correction model. We apply the algorithm proposed by Chib (1995) to calculate the marginal likelihood and the Bayes factors for this model to select the most appropriate model among all models under consideration. We perform a simple Monte Carlo simulation to illustrate the performances of the method for model selection.
Type Local :紀要論文
ISSN :0557-580X
Publisher :琉球大学法文学部
URI :http://hdl.handle.net/20.500.12000/36146
Citation :琉球大学経済研究=Ryukyu University Economic Review no.92 p.27 -36
Appears in Collections:No.92 (2016/9)

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