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Model-based clustering of non-Gaussian panel data based on skew-t distributions
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Juárez, Miguel A. and Steel, Mark F. J. (2010) Model-based clustering of non-Gaussian panel data based on skew-t distributions. Journal of Business and Economic Statistics, Vol.28 (No.1). pp. 52-66. doi:10.1198/jbes.2009.07145 ISSN 0735-0015.
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Official URL: http://dx.doi.org/10.1198/jbes.2009.07145
Abstract
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 behavior. equilibrium level, and the effect of covariates. Inference is addressed from a Bayesian perspective, and model comparison is conducted using Bayes factors. Particular attention is paid to prior elicitation and posterior propriety. We suggest priors that require little subjective input and have hierarchical structures that enhance inference robustness. We apply our methodology to GDP growth of European regions and to employment growth of Spanish firms.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Cluster analysis, Gross domestic product -- Europe -- Econometric models, Labor market -- Spain -- Econometric models | ||||
Journal or Publication Title: | Journal of Business and Economic Statistics | ||||
Publisher: | Americal Statistical Association | ||||
ISSN: | 0735-0015 | ||||
Official Date: | January 2010 | ||||
Dates: |
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Volume: | Vol.28 | ||||
Number: | No.1 | ||||
Number of Pages: | 15 | ||||
Page Range: | pp. 52-66 | ||||
DOI: | 10.1198/jbes.2009.07145 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Date of first compliant deposit: | 8 December 2015 | ||||
Date of first compliant Open Access: | 8 December 2015 | ||||
Funder: | Engineering and Physical Sciences Research Council (EPSRC) | ||||
Grant number: | GR/T17908/01 (EPSRC) |
Data sourced from Thomson Reuters' Web of Knowledge
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