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Panel data analysis: a survey on model-based clustering of time series

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  • Sylvia Frühwirth-Schnatter

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    File URL: http://hdl.handle.net/10.1007/s11634-011-0100-0
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    Bibliographic Info

    Article provided by Springer in its journal Advances in Data Analysis and Classification.

    Volume (Year): 5 (2011)
    Issue (Month): 4 (December)
    Pages: 251-280

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    Handle: RePEc:spr:advdac:v:5:y:2011:i:4:p:251-280

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    Web page: http://www.springer.com/statistics/statistical+theory+and+methods/journal/11634

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    Related research

    Keywords: Markov chain Monte Carlo; Longitudinal data; Panel data; Model selection; Discrete-valued time series; Regularization; Skewed distributions; 62-02; 62H30; 68T10; 91C20; 62M10;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Sylvia Frühwirth-Schnatter & Christoph Pamminger & Andrea Weber & Rudolf Winter-Ebmer, 2010. "Labor Market Entry and Earnings Dynamics: Bayesian Inference Using Mixtures-of-Experts Markov Chain Clustering," NRN working papers 2010-14, The Austrian Center for Labor Economics and the Analysis of the Welfare State, Johannes Kepler University Linz, Austria.
    2. Davis, Lewis & Owen, Ann L. & Videras, Julio, 2007. "Do all countries follow the same growth process?," MPRA Paper 11589, University Library of Munich, Germany, revised Sep 2008.
    3. Juárez, Miguel A. & Steel, Mark F. J., 2010. "Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-t Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 52-66.
    4. Bauwens, Luc, 2007. "Bayesian Clustering of Many Garch Models," Open Access publications from Université catholique de Louvain info:hdl:2078.1/23133, Université catholique de Louvain.
    5. Sylvia Kaufmann & Sylvia Frühwirth-Schnatter, 2006. "How do changes in monetary policy affect bank lending? An analysis of Austrian bank data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 275-305.
    6. Jeffrey M. Wooldridge, 2005. "Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 39-54.
    7. Greene, William H. & Hensher, David A., 2003. "A latent class model for discrete choice analysis: contrasts with mixed logit," Transportation Research Part B: Methodological, Elsevier, vol. 37(8), pages 681-698, September.
    8. Frydman, Halina, 2005. "Estimation in the Mixture of Markov Chains Moving With Different Speeds," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1046-1053, September.
    9. Bettina Grün & Friedrich Leisch, 2008. "Identifiability of Finite Mixtures of Multinomial Logit Models with Varying and Fixed Effects," Journal of Classification, Springer, vol. 25(2), pages 225-247, November.
    10. Fraley C. & Raftery A.E., 2002. "Model-Based Clustering, Discriminant Analysis, and Density Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 611-631, June.
    11. Frühwirth-Schnatter, Sylvia & Kaufmann, Sylvia, 2004. "Model-based Clustering of Multiple Time Series," CEPR Discussion Papers 4650, C.E.P.R. Discussion Papers.
    12. Aßmann, Christian & Boysen-Hogrefe, Jens, 2011. "A Bayesian approach to model-based clustering for binary panel probit models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 261-279, January.
    13. Sylvia Fruhwirth-Schnatter, 2004. "Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 143-167, 06.
    14. Nalan Basturk & Richard Paap & Dick van Dijk, 2008. "Structural Differences in Economic Growth," Tinbergen Institute Discussion Papers 08-085/4, Tinbergen Institute.
    15. Hong-Tu Zhu & Heping Zhang, 2004. "Hypothesis testing in mixture regression models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 3-16.
    16. Fruhwirth-Schnatter, Sylvia & Tuchler, Regina & Otter, Thomas, 2004. "Bayesian Analysis of the Heterogeneity Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 2-15, January.
    17. Peter Lenk & Wayne DeSarbo, 2000. "Bayesian inference for finite mixtures of generalized linear models with random effects," Psychometrika, Springer, vol. 65(1), pages 93-119, March.
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