A panel clustering approach to analyzing bubble behavior

A panel clustering approach to analyzing bubble behavior

This study provides new mechanisms for identifying and estimating explosive bubbles in mixed-root panel autoregressions with a latent group structure. A post-clustering approach is employed that combines a recursive k-means clustering al-gorithm with panel-data test statistics for testing the presen...

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Bibliographic Details
Main Authors: LIU, Yanbo, PHILLIPS, Peter C. B., Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Bubbles
Clustering
Mildly explosive behavior
k-means
Latent membership detection.
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/2591
https://ink.library.smu.edu.sg/context/soe_research/article/3590/viewcontent/Liu_Phillips_Yu_2022_full.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2591
https://ink.library.smu.edu.sg/context/soe_research/article/3590/viewcontent/Liu_Phillips_Yu_2022_full.pdf

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