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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| 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 |