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
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
نویسندگان
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