Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

Gary Koop and Joshua Chan

No 1111, Working Papers from University of Strathclyde Business School, Department of Economics

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. In this paper, we draw on methods 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. We present an application involving a five-variate steady-state VAR.

Keywords: mixtures of normals; steady state VARs; Bayesian (search for similar items in EconPapers)
JEL-codes: C11 C24 C32 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2011-04
New Economics Papers: this item is included in nep-ecm and nep-ets
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http://www.strath.ac.uk/media/1newwebsite/departme ... 2011/11-11_Final.pdf (application/pdf)

Related works:
Journal Article: Modelling breaks and clusters in the steady states of macroeconomic variables (2014)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:str:wpaper:1111

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