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- Title
A BAYESIAN CLASSIFICATION APPROACH TO MONETARY AGGREGATION.
- Authors
Apostolos Serletis
- Abstract
In this article we use Bayesian classification and finite mixture models to extract information from the MSI database (maintained by the Federal Reserve Bank of St. Louis) and construct a new set of non-nested monetary aggregates (under the Divisia aggregation procedure) based on statistical similarities and multidimensional structures. We also use recent advances in the fields of applied econometrics, dynamical systems theory, and statistical physics to investigate the relationship between the new money measures and economic activity. The empirical results offer practical evidence in favor of this approach to monetary aggregation.
- Subjects
BAYESIAN analysis; MONEY supply; ECONOMETRICS; MACROECONOMICS; FEDERAL Reserve Bank of St. Louis; ECONOMIC activity; STATISTICAL physics
- Publication
Macroeconomic Dynamics, 2009, Vol 13, Issue 2, p200
- ISSN
1365-1005
- Publication type
Article
- DOI
10.1017/S1365100508080024