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アイテム
Bayesian Inference in the Time Varying Cointegration Model
https://grips.repo.nii.ac.jp/records/983
https://grips.repo.nii.ac.jp/records/983412b7b3b-bc9e-47bb-8bc7-74d529def0b6
| Item type | ディスカッションペーパー / Discussion Paper(1) | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2008-05-22 | |||||||||||
| タイトル | ||||||||||||
| タイトル | Bayesian Inference in the Time Varying Cointegration Model | |||||||||||
| 言語 | en | |||||||||||
| 言語 | ||||||||||||
| 言語 | eng | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Bayesian | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | time varying cointegration | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | error correction model | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | reduced rank regression | |||||||||||
| キーワード | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Markov Chain Monte Carlo | |||||||||||
| 資源タイプ | ||||||||||||
| 資源タイプ | technical report | |||||||||||
| アクセス権 | ||||||||||||
| アクセス権 | metadata only access | |||||||||||
| 著者 |
KOOP, Gary
× KOOP, Gary
× LEON-GONZALEZ, Roberto
× STRACHAN, Rodney W.
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| 著者所属 | ||||||||||||
| 値 | University of Strathclyde; Rimini Centre for Economic Analysis | |||||||||||
| 著者所属 | ||||||||||||
| 値 | 政策研究大学院大学 / National Graduate Institute for Policy Studies; Rimini Centre for Economic Analysis | |||||||||||
| 著者所属 | ||||||||||||
| 値 | University of Queensland; Rimini Centre for Economic Analysis | |||||||||||
| 分野 | ||||||||||||
| 内容記述タイプ | Other | |||||||||||
| 内容記述 | 経済学 / Economics | |||||||||||
| 抄録 | ||||||||||||
| 内容記述タイプ | Abstract | |||||||||||
| 内容記述 | There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper we develop time varying parameter models which permit cointegration. Time-varying parameter VARs (TVP-VARs) typically use state space representations to model the evolution of parameters. In this paper, we show that it is not sensible to use straightforward extensions of TVP-VARs when allowing for cointegration. Instead we develop a speci<br />cation which allows for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP-VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving a permanent/transitory variance decomposition for inflation. | |||||||||||
| 内容記述 | ||||||||||||
| 内容記述タイプ | Other | |||||||||||
| 内容記述 | JEL Classification Codes: C11, C32, C33 | |||||||||||
| 発行年 | ||||||||||||
| 値 | 2008-05 | |||||||||||
| 書誌情報 |
en : GRIPS Discussion Papers Report No. DP08-01, 発行日 2008-05-22 |
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| 出版者 | ||||||||||||
| 出版者 | GRIPS Policy Research Center | |||||||||||
| 言語 | en | |||||||||||
| 関連サイト | ||||||||||||
| 関連タイプ | isIdenticalTo | |||||||||||
| 識別子タイプ | URI | |||||||||||
| 関連識別子 | https://ideas.repec.org/p/ngi/dpaper/08-01.html | |||||||||||
| 関連名称 | https://ideas.repec.org/p/ngi/dpaper/08-01.html | |||||||||||
| 著者情報 | ||||||||||||
| 内容記述タイプ | Other | |||||||||||
| 内容記述 | https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/ | |||||||||||
