Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables
Chan, Joshua C.C. and Koop, Gary (2011) Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables. Discussion paper. University of Strathclyde, Glasgow.
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Abstract
Macroeconomists working with multivariate models typically face uncertainty over which (if any) of their variables have long run steady states which are subject to breaks. Furthermore, the nature of the break process is often unknown. In this paper, we draw on methods from the Bayesian clustering literature to develop an econometric methodology which: i) finds groups of variables which have the same number of breaks; and ii) determines the nature of the break process within each group. We present an application involving a fiv-variate steady-state VAR.
ORCID iDs
Chan, Joshua C.C. and Koop, Gary ORCID: https://orcid.org/0000-0002-6091-378X;-
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Item type: Monograph(Discussion paper) ID code: 67929 Dates: DateEventJanuary 2011PublishedNotes: Discussion paper. Subjects: Social Sciences > Economic Theory Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 21 May 2019 13:48 Last modified: 27 Sep 2024 01:30 URI: https://strathprints.strath.ac.uk/id/eprint/67929