Model-based Clustering of non-Gaussian Panel Data
In this paper we propose a model-based method to cluster units within a panel. The underlying model is autoregressive and non-Gaussian, allowing for both skewness and fat tails, and the units are clustered according to their dynamic behaviour and equilibrium level. Inference is addressed from a Bayesian perspective and model comparison is conducted using the formal tool of Bayes factors. Particular attention is paid to prior elicitation and posterior propriety. We suggest priors that require little subjective input from the user and possess hierarchical structures that enhance the robustness of the inference. Two examples illustrate the methodology: one analyses economic growth of OECD countries and the second one investigates employment growth of Spanish manufacturing firms
|Date of creation:||20 Nov 2006|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- repec:att:wimass:9419 is not listed on IDEAS
- Fabio Canova, 1997.
"Testing for convergence clubs in income per-capita: A predictive density approach,"
Economics Working Papers
404, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 1999.
- Fabio Canova, 2004. "Testing for Convergence Clubs in Income Per Capita: A Predictive Density Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(1), pages 49-77, 02.
- Canova, Fabio, 2001. "Testing for convergence clubs in income per-capita : a predictive density approach," HWWA Discussion Papers 139, Hamburg Institute of International Economics (HWWA).
- Canova, Fabio, 1999. "Testing for Convergence Clubs in Income per-capita: A Predictive Density Approach," CEPR Discussion Papers 2201, C.E.P.R. Discussion Papers.
- Durlauf, Steven N. & Quah, Danny T., 1999.
"The new empirics of economic growth,"
Handbook of Macroeconomics,
in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 4, pages 235-308
- Steven N. Durlauf & Danny T. Quah, 1998. "The New Empirics of Economic Growth," NBER Working Papers 6422, National Bureau of Economic Research, Inc.
- Steven N. Durlauf & Danny T. Quah, 1998. "The New Empirics of Economic Growth," Working Papers 98-01-012, Santa Fe Institute.
- Durlauf,S.N. & Quah,D.T., 1998. "The new empirics of economic growth," Working papers 3, Wisconsin Madison - Social Systems.
- S Durlauf & Danny Quah, 1998. "The New Empirics of Economic Growth," CEP Discussion Papers dp0384, Centre for Economic Performance, LSE.
- G. Casella & K. L. Mengersen & C. P. Robert & D. M. Titterington, 2002. "Perfect samplers for mixtures of distributions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 777-790.
- Carmen Fernandez & Mark F J Steel, 1999.
"Bayesian Regression Analysis with scale mixtures of normals,"
ESE Discussion Papers
27, Edinburgh School of Economics, University of Edinburgh.
- Fern ndez, Carmen & Steel, Mark F.J., 2000. "Bayesian Regression Analysis With Scale Mixtures Of Normals," Econometric Theory, Cambridge University Press, vol. 16(01), pages 80-101, February.
- Nerlove,Marc, 2005.
"Essays in Panel Data Econometrics,"
Cambridge University Press, number 9780521022460, 1.
- Juarez, Miguel A. & Steel, Mark F. J., 2006.
"Non-Gaussian dynamic Bayesian modelling for panel data,"
450, University Library of Munich, Germany.
- Miguel A. Juárez & Mark F. J. Steel, 2010. "Non‐gaussian dynamic bayesian modelling for panel data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(7), pages 1128-1154, November/.
- Quah, Danny, 1997. "Empirics for Growth and Distribution: Stratification, Polarization, and Convergence Clubs," CEPR Discussion Papers 1586, C.E.P.R. Discussion Papers.
- Frühwirth-Schnatter, Sylvia & Kaufmann, Sylvia, 2004.
"Model-based Clustering of Multiple Time Series,"
CEPR Discussion Papers
4650, C.E.P.R. Discussion Papers.
- Marin, Jean-Michel & Mengersen, Kerrie & Robert, Christian P., 2005. "Bayesian Modelling and Inference on Mixtures of Distributions," Economics Papers from University Paris Dauphine 123456789/6069, Paris Dauphine University.
- L. Bauwens & J. V. K. Rombouts, 2007.
"Bayesian Clustering of Many Garch Models,"
Taylor & Francis Journals, vol. 26(2-4), pages 365-386.
- BAUWENS, Luc & ROMBOUTS, Jeroen, 2003. "Bayesian clustering of many GARCH models," CORE Discussion Papers 2003087, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & ROMBOUTS, Jeroen VK, . "Bayesian clustering of many GARCH models," CORE Discussion Papers RP 1916, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Nandram, Balgobin & Petruccelli, Joseph D, 1997. "A Bayesian Analysis of Autoregressive Time Series Panel Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 328-34, July.
- 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.
- Liu, Lon-Mu & Tiao, George C., 1980. "Random coefficient first-order autoregressive models," Journal of Econometrics, Elsevier, vol. 13(3), pages 305-325, August.
- Ishwaran H. & James L.F. & Sun J., 2001. "Bayesian Model Selection in Finite Mixtures by Marginal Density Decompositions," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1316-1332, December.
- Matthew Stephens, 2000. "Dealing with label switching in mixture models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(4), pages 795-809.
- Keisuke Hirano, 2002. "Semiparametric Bayesian Inference in Autoregressive Panel Data Models," Econometrica, Econometric Society, vol. 70(2), pages 781-799, March.
- Durlauf, S.M. & Johnson, P.A., 1995.
"Multiple Regimes and Cross-Country Growth Behavior,"
9419r, Wisconsin Madison - Social Systems.
- Durlauf, Steven N & Johnson, Paul A, 1995. "Multiple Regimes and Cross-Country Growth Behaviour," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 365-84, Oct.-Dec..
- Jonathan Temple, 1999. "The New Growth Evidence," Journal of Economic Literature, American Economic Association, vol. 37(1), pages 112-156, March.
- Alonso-Borrego, Cesar & Arellano, Manuel, 1999. "Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 36-49, January.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:880. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.