Model-based clustering of multiple time series

Article Abstract:

The use of finite-mixture models to pool multiple time series into groups is proposed. Bayesian Markov chain Monte Carlo simulation methods are used to estimate time series groups. Efficiency gains in estimation and forecasting are noted.

Austria, Bayesian statistical decision theory, Bayesian analysis, Business cycles, Monte Carlo method, Monte Carlo methods

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Binomial autoregressive moving average models with an application to US recessions

Article Abstract:

US economic recession data are studied through the binary autoregressive moving average (BARMA) and Markov models. The BARMA models US recession data better than traditional Markov models.

United States, Recessions, Autoregression (Statistics)

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Co-breaking: recent advances and a synopsis of the literature

Article Abstract:

A synopsis of the literature on co-breaking on policy analysis using UK macroeconomic dad is presented.

United Kingdom, Usage, Macroeconomics

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