Modelling breaks and clusters in the steady states of macroeconomic variables
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- Chan, Joshua C.C. & Koop, Gary, 2014. "Modelling breaks and clusters in the steady states of macroeconomic variables," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 186-193.
- Joshua C.C. Chan & Gary Koop, 2013. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," ANU Working Papers in Economics and Econometrics 2013-603, Australian National University, College of Business and Economics, School of Economics.
- Gary Koop & Joshua Chan, 2011. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," Working Papers 1111, University of Strathclyde Business School, Department of Economics.
- Chan, Joshua C.C. & Koop, Gary, 2011. "Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables," SIRE Discussion Papers 2011-22, Scottish Institute for Research in Economics (SIRE).
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- Dimitrios P. Louzis, 2015. "Steady-state priors and Bayesian variable selection in VAR forecasting," Working Papers 195, Bank of Greece.
- Tallman, Ellis W. & Zaman, Saeed, 2020.
"Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
- Ellis W. Tallman & Saeed Zaman, 2018. "Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy," Working Papers (Old Series) 1809, Federal Reserve Bank of Cleveland.
- Fisher, Mark & Jensen, Mark J., 2019.
"Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
- Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," Working Paper series 18-12, Rimini Centre for Economic Analysis.
- Mark Fisher & Mark J. Jensen, 2018. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors," FRB Atlanta Working Paper 2018-2, Federal Reserve Bank of Atlanta.
- Maximo Camacho & María Dolores Gadea & Ana Gómez Loscos, 2022.
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Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 66-81, January.
- Máximo Camacho & María Dolores Gadea & Ana Gómez Loscos, 2019. "A new approach to dating the reference cycle," Working Papers 1914, Banco de España.
- Perricone, Chiara, 2018.
"Clustering macroeconomic variables,"
Structural Change and Economic Dynamics, Elsevier, vol. 44(C), pages 23-33.
- Chiara Perricone, 2013. "Clustering Macroeconomic Variables," CEIS Research Paper 283, Tor Vergata University, CEIS, revised 11 Jun 2013.
- Dimitrios P. Louzis, 2019. "Steady‐state modeling and macroeconomic forecasting quality," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 285-314, March.
- Dimitrios P. Louzis, 2016. "Macroeconomic forecasting and structural changes in steady states," Working Papers 204, Bank of Greece.
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JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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