Juarez, Miguel A. and Steel, Mark F. J. (2006): Model-based Clustering of non-Gaussian Panel Data.
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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
|Item Type:||MPRA Paper|
|Institution:||University of Warwick|
|Original Title:||Model-based Clustering of non-Gaussian Panel Data|
|Keywords:||autoregressive modelling; employment growth; GDP growth convergence; hierarchical prior; model comparison; posterior propriety; skewness|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C23 - Models with Panel Data; Longitudinal Data; Spatial Time Series
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General
|Depositing User:||Miguel A. Juarez|
|Date Deposited:||21. Nov 2006|
|Last Modified:||24. Feb 2013 00:32|
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