کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7388751 | 1481017 | 2018 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Clustering macroeconomic variables
ترجمه فارسی عنوان
خوشه بندی متغیرهای کلان اقتصادی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Numerous studies have highlighted the structural instability in certain macroeconomic time series. This issue has been typically addressed through three econometric methodologies: structural breaks, Regime-Switching, and time-varying parameter models, all requiring some ex ante structure to define the changes. Drawing on the recurrent Chinese restaurant process, a model for an autoregressive process is introduced and estimated via a particle filter. This methodology is employed to study the instability in post World War II US inflation. The application displays a good fit to the data, producing a clusterization of the time series that can be interpreted in terms of economic history, given a relative small number of estimated clusters. In addition, it is able to recover key data features without making restrictive assumptions, as in the case of one-break or time-varying parameter models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Structural Change and Economic Dynamics - Volume 44, March 2018, Pages 23-33
Journal: Structural Change and Economic Dynamics - Volume 44, March 2018, Pages 23-33
نویسندگان
Chiara Perricone,