EconPapers    
Economics at your fingertips  
 

Dating and forecasting turning points by Bayesian clustering with dynamic structure: a suggestion with an application to Austrian data

Sylvia Kaufmann

Journal of Applied Econometrics, 2010, vol. 25, issue 2, 309-344

Abstract: The information contained in a large panel dataset is used to date historical turning points and to forecast future ones. We estimate groups of series with similar time series dynamics and link the groups with a dynamic structure. The dynamic structure identifies a group of leading and a group of coincident series. Robust results across data vintages are obtained when series-specific information is incorporated in the design of the prior group probability distribution. The forecast evaluation confirms that the Markov switching panel with dynamic structure performs well when compared to other specifications. Copyright © 2009 John Wiley & Sons, Ltd.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.1076 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2010-v25.2/ Supporting data files and programs (text/html)

Related works:
Working Paper: Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:25:y:2010:i:2:p:309-344

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

DOI: 10.1002/jae.1076

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

 
Page updated 2025-03-22
Handle: RePEc:jae:japmet:v:25:y:2010:i:2:p:309-344