This paper presents an
analysis of models for Japanese
short-term interest rate.
The models are constructed based on mean reverting model
using Bayesian method to capture the dynamics of short-term interest rate.
The parameters of our models are estimated by marginal likelihood
and posterior expectation and we shall make model selection using
the information criterion EIC(extended information criterion).
An application of the models will be implemented
using weekly Japanese average interest rates on certificates
of deposit (new issues) less than 30 days
in the period from January 2001 to December 2008.