Projects per year
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 fivvariate steadystate VAR.
Original language  English 

Place of Publication  Glasgow 
Publisher  University of Strathclyde 
Pages  116 
Number of pages  17 
Volume  2011 
Publication status  Published  Jan 2011 
Keywords
 multivariate modelling
 bayesian
 bayesian clustering
 econometrics
 steadystate VAR
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Projects
 1 Finished

Macroeconomic Forecasting in Turbulent Times
ESRC (Economic and Social Research Council)
1/10/10 → 30/09/13
Project: Research