Bayesian Analysis of Multivariate Time Series Model including unobserved data and its application to macro economic analysis

我研究了时间序列数据的计量经济学分析，使用了最近发展起来的一种叫做“贝叶斯方法”的方法，并将该方法应用于宏观经济分析。我们考虑了马尔可夫切换模型、具有多个结构断裂的模型和具有不可观察风险溢价的模型，发现这些模型更现实，更易于分析。

I investigated econometric analysis of time series data using a recently developed method called "Bayesian approach", and applied the approach to macro economic analysis. We consider a Markov switching model, a model with multiple structural breaks, and a model with unobserved risk premium, and found that these models are more realistic and useful to analyse.