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No.92 (2016/9) >

Title :Statistical Inference in Markov Switching Vector Error Correction Model Using a Markov Chain Monte Carlo Method
Authors :Sugita, Katsuhiro
Authors alternative :杉田, 勝弘
Issue Date :30-Sep-2016
Abstract :This paper introduces statistical inference in a Markov switching vector error correction model using a Markov chain Monte Carlo method. The proposed model allows for regime shifts in the deterministic terms, the lag terms, the adjustment terms and the variance-covariance matrix. The proposed method allows for estimation of the cointegrating vector within a nonlinear framework through a collapsed Gibbs sampling. We apply the proposed model to U.S. term structure of interest rates.
Type Local :紀要論文
ISSN :0557-580X
Publisher :琉球大学法文学部
URI :http://hdl.handle.net/20.500.12000/36147
Citation :琉球大学経済研究=Ryukyu University Economic Review no.92 p.37 -63
Appears in Collections:No.92 (2016/9)

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