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Clustering Macroeconomic Time Series

Author

Listed:
  • Augustyński Iwo

    (Wrocław University of Economics, Wrocław, Poland)

  • Laskoś-Grabowski Paweł

    (University of Wrocław, Institute of Theoretical Physics, Wrocław, Poland)

Abstract

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.

Suggested Citation

  • Augustyński Iwo & Laskoś-Grabowski Paweł, 2018. "Clustering Macroeconomic Time Series," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 22(2), pages 74-88, June.
    • Handle: RePEc:vrs:eaiada:v:22:y:2018:i:2:p:74-88:n:6
    DOI: 10.15611/eada.2018.2.06
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    References listed on IDEAS

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    1. Martin Gächter & Aleksandra Riedl & Doris Ritzberger-Grünwald, 2012. "Business Cycle Synchronization in the Euro Area and the Impact of the Financial Crisis," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 33-60.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    time series clustering; similarity; cluster analysis; GDP;
    All these keywords.

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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