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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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2022
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| 主題: | |
| 在線閱讀: | 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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| 機構: | Singapore Management University |
| 語言: | English |