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Model-based Clustering of non-Gaussian Panel Data

  • Juarez, Miguel A.
  • Steel, Mark F. J.

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

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 880.

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Date of creation: 20 Nov 2006
Date of revision:
Handle: RePEc:pra:mprapa:880
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  1. repec:att:wimass:9419 is not listed on IDEAS
  2. 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.
  3. 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).
  4. Steven N. Durlauf & Danny T. Quah, 1998. "The New Empirics of Economic Growth," Working Papers 98-01-012, Santa Fe Institute.
  5. Keisuke Hirano, 2002. "Semiparametric Bayesian Inference in Autoregressive Panel Data Models," Econometrica, Econometric Society, vol. 70(2), pages 781-799, March.
  6. 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).
  7. Durlauf, S.M. & Johnson, P.A., 1995. "Multiple Regimes and Cross-Country Growth Behavior," Working papers 9419r, Wisconsin Madison - Social Systems.
  8. Juarez, Miguel A. & Steel, Mark F. J., 2006. "Non-Gaussian dynamic Bayesian modelling for panel data," MPRA Paper 450, University Library of Munich, Germany.
  9. 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.
  10. 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.
  11. 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.
  12. Nerlove,Marc, 2002. "Essays in Panel Data Econometrics," Cambridge Books, Cambridge University Press, number 9780521815345.
  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. 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.
  15. Fruhwirth-Schnatter, Sylvia & Kaufmann, Sylvia, 2008. "Model-Based Clustering of Multiple Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 78-89, January.
  16. Jonathan Temple, 1999. "The New Growth Evidence," Journal of Economic Literature, American Economic Association, vol. 37(1), pages 112-156, March.
  17. Liu, Lon-Mu & Tiao, George C., 1980. "Random coefficient first-order autoregressive models," Journal of Econometrics, Elsevier, vol. 13(3), pages 305-325, August.
  18. 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.
  19. 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.
  20. Quah, Danny, 1997. "Empirics for Growth and Distribution: Stratification, Polarization, and Convergence Clubs," CEPR Discussion Papers 1586, C.E.P.R. Discussion Papers.
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