panel data

Model-based Clustering of Multiple Time Series

JEL codes: 
C11, C33, E32
Version Date: 
Aug 2004
Abstract: 

We propose to use the attractiveness of pooling relatively short time series that display similar dynamics, but without restricting to pooling all into one group. We suggest estimating the appropriate grouping of time series simultaneously along with the group-specific model parameters. We cast estimation into the Bayesian framework and use Markov chain Monte Carlo simulation methods.

Report file: 
PDF icon Download the paper (699.02 KB)

Similarities and Convergence in G7 Cycles

JEL codes: 
C11, E32
Version Date: 
Aug 2004
Abstract: 

This Paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role.

Report file: 
PDF icon Download the paper (473.47 KB)