Model-Based Clustering of Non-Gaussian Panel Data Based on Skew-t Distributions

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Sieve Estimation of Time-Varying Panel Data Models With Latent Structures (2019, background): “…and inference, such an assumption has been frequently rejected in empirical studies (e.g., Lee, Pesaran, and Smith 1997; Durlauf, Kourtellos, and Minkin 2001; Juárez and Steel 2010; Su and Chen 2013) and there has been increasing interest in modeling slope heterogeneity in panel data models.”
Model-based clustering of categorical time series (2010, background): “Recently, Juárez and Steel (2010) suggested to use skew-t distributions to capture skewness in the cluster-specific sampling density.”
Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC (2015, methodology): “This extends the diagnostic approach of Peruggia (1997) and Epifani et al.”
brms: An R Package for Bayesian Multilevel Models Using Stan (2017, background): “By default, ν has a wide gamma prior as proposed by Juárez and Steel (2010).”