杉田 勝弘 (スギタ カツヒロ)

Sugita Katsuhiro

写真a

職名

教授

科研費研究者番号

50377058

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  • 専任   琉球大学   国際地域創造学部   経済学プログラム   教授  

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  •  -  博士(経済学)  経済統計学

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  • 2004年04月
    -
    2007年03月

      一橋大学大学院経済学研究科 講師  

  • 2007年04月
    -
    2009年09月

      琉球大学 講師  

  • 2009年10月
    -
    2017年09月

      琉球大学 法文学部 総合社会システム学科 准教授  

  • 2017年10月
    -
    継続中

      琉球大学 法文学部 総合社会システム学科 教授  

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  • 計量経済学,ベイズ計量経済学

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  • 人文・社会 / 経済統計

主たる研究テーマ 【 表示 / 非表示

  • ベイズ法による多変量時系列分析

論文 【 表示 / 非表示

  • Forecasting with Vector Autoregressions by Bayesian Model Averaging

    杉田 勝弘

    琉球大学経済学ワーキングペーパー ( University of the Ryukyus )  ( REWP#03 ) 1 - 13   2019年06月

    掲載種別: 研究論文(学術雑誌)

     概要を見る

    This paper examines how vector autoregression model by Bayesian model averaging method can improve forecasting performance. Bayesian model averaging selects significant variables in vector autoregression model that contains many insignificant variables, and thus alleviates over-parameterization problem. For empirical application, macroeconomic data for three countries - US, UK and Japan - are examined. I find that the Bayesian model averaging method can improve forecasting performance.

  • Forecasting with Vector Autoregressions using Bayesian Variable Selection Methods: Comparison of Direct and Iterated Methods

    杉田 勝弘

    琉球大学経済学ワーキングペーパー ( University of the Ryukyus )  No.REWP#02   1 - 18   2019年05月

    掲載種別: 研究論文(学術雑誌)

     概要を見る

    This paper compares multi-period forecasting performances by direct and iterated method using a Bayesian vector autoregressions with the stochastic search variable selection (SSVS) priors. The forecasting performances are evaluated using the artificially generated data with both nonstationary and stationary process. In theory direct forecasts are more efficient asymptotically and more robust to model misspecification than iterated forecasts, and iterated forecasts tend to bias but more efficient if the one-period ahead model is correctly specified. From the results of the Monte Carlo simulations, iterated forecasts tend to outperform direct forecasts, particularly with longer lag model and with longer forecast horizons. Implementing SSVS prior generally improves forecasting performance over unrestricted VAR model for either nonstationary or stationary data. As an illustration, US macroeconomic data sets with three variables are examined to compare iterated and direct forecasts using the unrestricted VAR model and the SSVS VAR model. Overall, iterated forecasts using model with the SSVS generally best outperform, suggesting that the SSVS restrictions on insignificant parameters alleviates over-parameterized problem of VAR in one-step ahead forecast and thus offers an appreciable improvement in forecast performance of iterated forecasts.

  • Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression

    杉田 勝弘

    琉球大学経済学ワーキングペーパー ( 琉球大学国際地域創造学部経済学プログラム )  1   1 - 19   2018年08月

    掲載種別: 研究論文(その他学術会議資料等)

     概要を見る

    This paper examines forecasting performance of a vector autoregressive (VAR) model by a Bayesian stochastic search variable selection (SSVS) method. We use several artificially generated data sets to evaluate forecasting performance using a direct multiperiod forecasting method with a recursive forecasting exercise. We find that implementing SSVS prior in a VAR improves forecasting performance over unrestricted VAR models for either non-stationary or stationary data. As an illustration of a VAR model with SSVS prior, we investigate US macroeconomic data sets with three variables using a VAR with lag length of ten, and find that the SSVS restrictions on insignificant parameters alleviates over-parameterized problem of VAR and thus offers an appreciable improvement in forecast performance.

  • Non-linear analysis of the Fisher effect: in the case of Japan

    Katsuhiro Sugita

    International Journal of Economics and Finance   9 ( 11 )   2017年11月 [ 査読有り ]

    掲載種別: 研究論文(学術雑誌)

  • Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model

    Katsuhiro Sugita

    International Journal of Economics and Finance   9 ( 3 )   2017年03月 [ 査読有り ]

    掲載種別: 研究論文(学術雑誌)

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