Modelling breaks and clusters in the steady states of macroeconomic variables

Chan, JCC; Koop, G

Modelling breaks and clusters in the steady states of macroeconomic variables

Chan, JCC

Koop, G

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Publication Type:: Journal Article
Citation:: Computational Statistics and Data Analysis, 2014, 76 pp. 186 - 193
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Chan, JCC https://orcid.org/0000-0003-3632-128X	en_US
dc.contributor.author	Koop, G	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	Computational Statistics and Data Analysis, 2014, 76 pp. 186 - 193	en_US
dc.identifier.issn	0167-9473	en_US
dc.identifier.uri	http://hdl.handle.net/10453/118311
dc.description.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. Methods are drawn 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. An application involving a five-variate steady-state VAR is presented. The results indicate that new methodology works well and breaks are occurring in the steady states of only two variables. © 2013 Elsevier B.V. All rights reserved.	en_US
dc.relation.ispartof	Computational Statistics and Data Analysis	en_US
dc.relation.isbasedon	10.1016/j.csda.2013.05.007	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	Modelling breaks and clusters in the steady states of macroeconomic variables	en_US
dc.type	Journal Article
utslib.citation.volume	76	en_US
utslib.for	0104 Statistics	en_US
utslib.for	0802 Computation Theory and Mathematics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	76	en_US

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. Methods are drawn 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. An application involving a five-variate steady-state VAR is presented. The results indicate that new methodology works well and breaks are occurring in the steady states of only two variables. © 2013 Elsevier B.V. All rights reserved.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/118311