Model-based Clustering of Multiple Time Series
AbstractWe propose to use the attractiveness of pooling relatively short time series that display similar dynamics, but without restricting to pooling all into one group. We suggest estimating the appropriate grouping of time series simultaneously along with the group-specific model parameters. We cast estimation into the Bayesian framework and use Markov chain Monte Carlo simulation methods. We discuss model identification and base model selection on marginal likelihoods. A simulation study documents the efficiency gains in estimation and forecasting that are realized when appropriately grouping the time series of a panel. Two economic applications illustrate the usefulness of the method in analysing also extensions to Markov switching within clusters and heterogeneity within clusters, respectively.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 4650.
Date of creation: Sep 2004
Date of revision:
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Other versions of this item:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-13 (All new papers)
- NEP-ECM-2005-02-13 (Econometrics)
- NEP-ETS-2005-02-13 (Econometric Time Series)
- NEP-MAC-2005-02-13 (Macroeconomics)
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