Clustering Macroeconomic Time Series
Iwo Augustyński and
Paweł Laskoś-Grabowski
EconStor Preprints from ZBW - Leibniz Information Centre for Economics
Abstract:
There is growing literature in macroeconomics, especially on business cycle synchronization, employing different methods of time series clustering. However, even as an unsupervised learning method, this technique requires making choices that are nontrivially influenced by the nature of the data involved. By extensively testing various possibilities, we arrive at a choice of a dissimilarity measure (compression-based dissimilarity measure, or CDM) which is particularly suitable for clustering macroeconomic variables. We check that the results are stable in time and consistent with the literature on core-periphery pattern of European business cycles. We also successfully apply our findings to the analysis of national economies, specifically to identifying their structural relations. To our knowledge, it is the first comprehensive analysis of the usefulness of the different dissimilarity measures for the macroeconomic research.
Keywords: time series clustering; similarity; cluster analysis; GDP (search for similar items in EconPapers)
JEL-codes: C18 C63 E00 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-mac
Note: A slightly updated version of this paper has been published in ECONOMETRICS. EKONOMETRIA. Advances in Applied Data Analysis, ISSN 1507-3866, e-ISSN 2449-9994, Vol. 22 (2018), No. 2, p. 74-88, DOI: https://doi.org/10.15611/eada.2018.2.06. A more recent version is available at the link below.
References: Add references at CitEc
Citations:
Downloads: (external link)
https://www.econstor.eu/bitstream/10419/171380/1/art.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:zbw:esprep:171380
Access Statistics for this paper
More papers in EconStor Preprints from ZBW - Leibniz Information Centre for Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics (econstor@zbw-workspace.eu).