### Abstract

Language | English |
---|---|

Place of Publication | Glasgow |

Publisher | University of Strathclyde |

Pages | 1-16 |

Number of pages | 17 |

Volume | 2011 |

Publication status | Published - Jan 2011 |

### Fingerprint

### Keywords

- multivariate modelling
- bayesian
- bayesian clustering
- econometrics
- steady-state VAR

### Cite this

*Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables*. (11 ed.) (pp. 1-16). Glasgow: University of Strathclyde.

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**Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables.** / Chan, Joshua C.C.; Koop, Gary.

Research output: Working paper › Discussion paper

TY - UNPB

T1 - Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

AU - Chan, Joshua C.C.

AU - Koop, Gary

N1 - Discussion paper.

PY - 2011/1

Y1 - 2011/1

N2 - 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 fiv-variate steady-state VAR.

AB - 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 fiv-variate steady-state VAR.

KW - multivariate modelling

KW - bayesian

KW - bayesian clustering

KW - econometrics

KW - steady-state VAR

M3 - Discussion paper

VL - 2011

SP - 1

EP - 16

BT - Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

PB - University of Strathclyde

CY - Glasgow

ER -