Template-Type: ReDIF-Paper 1.0
Author-Name: Gary Koop
Author-Name-First: Gary
Author-Name-Last: Koop
Author-Email: gary.koop@strath.ac.uk
Author-Workplace-Name: Department of Economics, University of Strathclyde
Author-Name: Joshua Chan
Author-Name-First: Joshua
Author-Name-Last: Chan
Author-Email: joshua.chan@anu.edu.au
Author-Workplace-Name: Australian National University
Title: Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables
Abstract: Macroeconomists working with multivariate models typically face uncertainty over which (if any) of their variables have long run steady states which are subject to breaks. Furthermore, the nature of the break process is often unknown. In this paper, we draw on methods from the Bayesian clustering literature to develop an econometric methodology which: i) finds groups of variables which have the same number of breaks; and ii) determines the nature of the break process within each group. We present an application involving a five-variate steady-state VAR. 
Length: 17 pages
Creation-Date: 2011-04
Revision-Date: 
Publication-Status: 
File-URL: http://www.strath.ac.uk/media/1newwebsite/departmentsubject/economics/research/researchdiscussionpapers/2011/11-11_Final.pdf
File-Format: Application/pdf
Number: 1111
Classification-JEL: C11, C24, C32
Keywords: mixtures of normals, steady state VARs, Bayesian
Handle: RePEc:str:wpaper:1111