Modelling breaks and clusters in the steady states of macroeconomic variables

DOI10.1016/j.csda.2013.05.007zbMath1506.62035OpenAlexW1834112757MaRDI QIDQ1623520

Joshua C. C. Chan, Gary Koop

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/55431/

zbMATH Keywords

clusteringVARBayesianstructural breaks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08)

Related Items (2)

Steady-state priors and Bayesian variable selection in VAR forecasting ⋮ Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors

Uses Software

• bvarsv

Cites Work

• Smoothly mixing regressions
• Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
• Real time detection of structural breaks in GARCH models
• Forecasting and conditional projection using realistic prior distributions
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Bayesian Variable Selection in Clustering High-Dimensional Data

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