Structural changes in large economic datasets: A nonparametric homogeneity test

Roberto Casarin and Michele Costola

Economics Letters, 2019, vol. 176, issue C, 55-59

Abstract: This paper proposes a Bayesian nonparametric homogeneity test for distributional changes. We provide an asymptotic approximation of the Bayes factor and show that it is related to the Shannon entropy. The proposed test is suitable for large high-dimensional datasets which otherwise require time-consuming computation for posterior approximation. An analysis on the FRED-QD macroeconomic dataset shows the ability of the test to detect relevant structural changes in the US economy.

Keywords: Bayesian nonparametric test; Distributional changes; Large datasets; US economy (search for similar items in EconPapers)
JEL-codes: C11 C12 C14 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:176:y:2019:i:c:p:55-59

DOI: 10.1016/j.econlet.2018.12.020

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