Estimation of Time-Varying Multi-Variate Vector Auto-Regressive Models Based on the Methods of Segmentation of Time Series and Their Applications to the Analysis of Monatary Shock Analysis - Collections

＜departmental bulletin paper＞
Estimation of Time-Varying Multi-Variate Vector Auto-Regressive Models Based on the Methods of Segmentation of Time Series and Their Applications to the Analysis of Monatary Shock Analysis

Creator	Creator Name 時永, 祥三 Tokinaga, Shozo トキナガ, ショウゾウ Affiliation Affiliation Name 九州大学 : 名誉教授 Kyushu University : Professor Emeritus
Creator	Creator Name 松野, 成悟 Matsuno, Seigo マツノ, セイゴ Affiliation Affiliation Name 宇部工業高等専門学校経営情報学科 : 教授 Department of Business Administration, National Institute of Technology, Ube College : Professor
Language	Japanese
Publisher	九州大学経済学会
Publisher	Society of Political Economy, Kyushu University
Date	2015-06-30
Source Title	Keizaigaku=Kenkyu (Journal of Political Economy)
Vol	82
Issue	1
First Page	47
Last Page	68
Publication Type	Version of Record
Access Rights	open access
JaLC DOI	https://doi.org/10.15017/1522395
Related DOI	http://www.econ.kyushu-u.ac.jp/graduate/gakkai.php
Related URI	http://www.econ.kyushu-u.ac.jp/graduate/gakkai.php
Relation	http://www.econ.kyushu-u.ac.jp/graduate/gakkai.php
Table of Contents	1 まえがき 2 時間変化VARモデルとその応用 3 時系列区分化による時間変化VARモデル推定 4 応用例 5 むすび

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Record ID	1522395
Peer-Reviewed	Refereed
Subject Terms	時系列区分化手法
	Methods of Segmentation of Time Series
	多変量ベクトル自己回帰モデル
	Vector Auto-Regressive model
	VARモデル
	自己回帰係数
	Auto-Regressive coefficient
	AR係数
	金融政策ショック
	Monatary Shock
ISSN	0022-975X
NCID	AN00070058
Created Date	2015.08.21
Modified Date	2022.02.10