A panel clustering approach to analyzing bubble behavior

• المؤلفون الرئيسيون: LIU, Yanbo, PHILLIPS, Peter C. B., Jun YU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2022
• الموضوعات: Bubbles; Clustering; Mildly explosive behavior; k-means; Latent membership detection.; Econometrics; Finance
• الوصول للمادة أونلاين: 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

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...