Title:

Clustering macroeconomic time series

Group publication title:

Ekonometria = Econometrics

Title in english:

Grupowanie makroekonomicznych szeregów czasowych

Creator:

Augustyński, Iwo ; Laskoś-Grabowski, Paweł

Subject and Keywords:

time series clustering ; similarity ; cluster analysis ; GDP ; grupowanie szeregów czasowych ; podobieństwo ; analiza skupień ; PKB

Description:

Econometrics = Ekonometria, 2018, Vol. 22, No. 2, s. 74-88

Abstrakt:

The data mining technique of time series clustering is well established. However, even when recognized as an unsupervised learning method, it does require making several design decisions 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 reflect large-scale phenomena, such as crises. We also successfully apply our findings to the analysis of national economies, specifically to identifying their structural relations

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2018

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/eada.2018.2.06

Language:

eng

Relation:

Econometrics = Ekonometria, 2018, Vol. 22, No. 2

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu