Long term economic relationships from cointegration maps

Renato Vicente, Carlos de B. Pereira, Vitor B.P. Leite and Nestor Caticha

Physica A: Statistical Mechanics and its Applications, 2007, vol. 380, issue C, 317-324

Abstract: We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the sorting points into neighborhoods (SPIN) technique, which has been previously used to analyze large data sets from DNA arrays. We exemplify the technique in three data sets: US interest rates (USIR), monthly inflation rates and gross domestic product (GDP) growth rates.

Keywords: Complex systems; Econophysics; Cointegration; Clustering; Bayesian inference (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:380:y:2007:i:c:p:317-324

DOI: 10.1016/j.physa.2007.02.067

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