Semiparametric Estimation and Panel Data Clustering Analysis Based on D-Vine and C-Vine

Hong Li, Yuantao Xie, Juan Yang and Di Wang

Mathematical Problems in Engineering, 2018, vol. 2018, 1-10

Abstract:

This paper proposed a panel data clustering model based on D-vine and C-vine and supported a semiparametric estimation for parameters. These models include a two-step inference function for margins, two-step semiparameter estimation, and stepwise semiparametric estimation. In similarity measurement, similarity coefficients are constructed by a multivariate Hierarchical Nested Archimedean Copula (HNAC) model and compound PCC models, which are HNAC and D-vine compound model and HNAC and C-vine compound model. Estimation solutions and models evaluation are given for these models. In the case study, the clustering results of HNAC and D-vine compound model and HNAC and C-vine compound model are given, and the effect of different copula families on clustering results is also discussed. The result shows the models are effective and useful.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:5840296

DOI: 10.1155/2018/5840296

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