{"created":"2023-06-20T15:03:01.354843+00:00","id":983,"links":{},"metadata":{"_buckets":{"deposit":"f2f666c9-6000-437f-a5e9-5752d743a6d3"},"_deposit":{"created_by":16,"id":"983","owners":[16],"pid":{"revision_id":0,"type":"depid","value":"983"},"status":"published"},"_oai":{"id":"oai:grips.repo.nii.ac.jp:00000983","sets":["1:18"]},"author_link":[],"item_12_description_22":{"attribute_name":"著者情報","attribute_value_mlt":[{"subitem_description":"https://www.grips.ac.jp/list/jp/facultyinfo/leon_gonzalez_roberto/","subitem_description_type":"Other"}]},"item_12_description_6":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_12_description_7":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"JEL Classification Codes: C11, C32, C33","subitem_description_type":"Other"}]},"item_12_description_8":{"attribute_name":"分野","attribute_value_mlt":[{"subitem_description":"経済学 / Economics","subitem_description_type":"Other"}]},"item_12_publisher_12":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"GRIPS Policy Research Center ","subitem_publisher_language":"en"}]},"item_12_relation_16":{"attribute_name":"関連サイト","attribute_value_mlt":[{"subitem_relation_name":[{"subitem_relation_name_text":"https://ideas.repec.org/p/ngi/dpaper/08-01.html"}],"subitem_relation_type":"isIdenticalTo","subitem_relation_type_id":{"subitem_relation_type_id_text":"https://ideas.repec.org/p/ngi/dpaper/08-01.html","subitem_relation_type_select":"URI"}}]},"item_12_text_10":{"attribute_name":"発行年","attribute_value_mlt":[{"subitem_text_value":"2008-05"}]},"item_12_text_5":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"University of Strathclyde; Rimini Centre for Economic Analysis"},{"subitem_text_value":"政策研究大学院大学 / National Graduate Institute for Policy Studies; Rimini Centre for Economic Analysis"},{"subitem_text_value":"University of Queensland; Rimini Centre for Economic Analysis"}]},"item_1693541285410":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2008-05-22","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"DP08-01","bibliographic_titles":[{"bibliographic_title":"GRIPS Discussion Papers","bibliographic_titleLang":"en"}]}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"KOOP, Gary","creatorNameLang":"en"}]},{"creatorNames":[{"creatorName":"LEON-GONZALEZ, Roberto","creatorNameLang":"en"}]},{"creatorNames":[{"creatorName":"STRACHAN, Rodney W.","creatorNameLang":"en"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Bayesian","subitem_subject_scheme":"Other"},{"subitem_subject":"time varying cointegration","subitem_subject_scheme":"Other"},{"subitem_subject":"error correction model","subitem_subject_scheme":"Other"},{"subitem_subject":"reduced rank regression","subitem_subject_scheme":"Other"},{"subitem_subject":"Markov Chain Monte Carlo","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report"}]},"item_title":"Bayesian Inference in the Time Varying Cointegration Model","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Bayesian Inference in the Time Varying Cointegration Model","subitem_title_language":"en"}]},"item_type_id":"12","owner":"16","path":["18"],"pubdate":{"attribute_name":"PubDate","attribute_value":"2008-05-22"},"publish_date":"2008-05-22","publish_status":"0","recid":"983","relation_version_is_last":true,"title":["Bayesian Inference in the Time Varying Cointegration Model"],"weko_creator_id":"16","weko_shared_id":-1},"updated":"2023-11-20T08:56:43.400917+00:00"}