Model-based Clustering of non-Gaussian Panel Data

Miguel Juárez and Mark Steel

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we propose a model-based method to cluster units within a panel. The underlying model is autoregressive and non-Gaussian, allowing for both skewness and fat tails, and the units are clustered according to their dynamic behaviour and equilibrium level. Inference is addressed from a Bayesian perspective and model comparison is conducted using the formal tool of Bayes factors. Particular attention is paid to prior elicitation and posterior propriety. We suggest priors that require little subjective input from the user and possess hierarchical structures that enhance the robustness of the inference. Two examples illustrate the methodology: one analyses economic growth of OECD countries and the second one investigates employment growth of Spanish manufacturing firms

Keywords: autoregressive modelling; employment growth; GDP growth convergence; hierarchical prior; model comparison; posterior propriety; skewness (search for similar items in EconPapers)
JEL-codes: C11 C23 (search for similar items in EconPapers)
Date: 2006-11-20
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:880

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