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Modelling Breaks and Clusters in the Steady States of Macroeconomic Variables

Chan, Chi Chun (Joshua); Koop, Gary


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. Methods are drawn 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. An application involving...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
Source: Computational Statistics and Data Analysis
DOI: 10.1016/j.csda.2013.05.007


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