Preprint
Clustering Macroeconomic Time Series
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.
- Sprache
-
Englisch
- Erschienen in
- Klassifikation
-
Wirtschaft
Macroeconomics and Monetary Economics: General
Methodological Issues: General
Computational Techniques; Simulation Modeling
- Thema
-
time series clustering
similarity
cluster analysis
GDP
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Augustyński, Iwo
Laskoś-Grabowski, Paweł
- Ereignis
-
Veröffentlichung
- (wer)
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (wo)
-
Kiel und Hamburg
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Preprint
Beteiligte
- Augustyński, Iwo
- Laskoś-Grabowski, Paweł
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Entstanden
- 2017
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