The business cycle of European countries Bayesian clustering of country - individual IP growth series

In the present paper, time series on industrial production growth of individual countries are used to investigate the following questions: (i) Is there a common growth cycle for the euro area countries? (ii) Did the synchronization change over time? (iii) Can we discriminate between a "European" and an "overseas" cycle? (iv) Which countries follow the "overseas" rather than the "European" cycle? To obtain the inference, I use an autoregressive panel data framework whereby the groups of co-moving countries are estimated adaptively along with the model parameters using Bayesian simulation methods.