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Activity Number:
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381
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Type:
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Contributed
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Date/Time:
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Wednesday, August 1, 2007 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Bayesian Statistical Science
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| Abstract - #308347 |
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Title:
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Model-Based Clustering of non-Gaussian Longitudinal Data
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Author(s):
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Miguel Juarez*+ and Mark F.J. Steel
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Companies:
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University of Warwick and University of Warwick
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Address:
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Department of Statistics, Coventry, CV4 7AL, United Kingdom
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Keywords:
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autoregressive modelling ; employment growth ; hierarchical prior ; model comparison ; skewness
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Abstract:
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In this paper 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 and equilibrium level. Inference is addressed from a Bayesian perspective and model comparison is conducted using the formal tool of Bayes factors. Particular attention is paid to prior elicitation and posterior propriety. We suggest priors that require little subjective input from the user and possess hierarchical structures that enhance the robustness of the inference. Two examples illustrate the methodology: one analyses economic growth of OECD countries and the second one investigates employment growth of Spanish manufacturing firms.
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