ベイズ計量経済学的に景気を捉える

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This paper is a survey of empirical studies analyzing business cycles from the perspective of Bayesian econometrics. Kim and Nelson (1998) use a hybrid model; Dynamic factor model of Stock and Watson (1989) and Markov switching model of Hamilton (1989). From the point of view, it is more important dealing with non-linear and non-Gaussian econometric models, recently. Although the classical econometric approaches have difficulty in these models, the Bayesian's do easily. The fact leads heavy usage of Bayesian methods in estimating business cycles.欧文抄録: p. 175