Modelling breaks and clusters in the steady states of macroeconomic variables

Joshua Chan and Gary Koop

Computational Statistics & Data Analysis, 2014, vol. 76, issue C, 186-193

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.

Keywords: Clustering; Structural breaks; VAR; Bayesian (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables (2013)
Working Paper: Modelling breaks and clusters in the steady states of macroeconomic variables (2012)
Working Paper: Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables (2011)
Working Paper: Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:76:y:2014:i:c:p:186-193

DOI: 10.1016/j.csda.2013.05.007

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