Clustering Macroeconomic Time Series
Iwo Augustyński and
EconStor Preprints from ZBW - Leibniz Information Centre for Economics
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: E00 C18 C63 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:esprep:171380
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