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Clustering Macroeconomic Time Series

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  • Augustyński, Iwo
  • Laskoś-Grabowski, Paweł

Abstract

The data mining technique of time series clustering is well established in many fields. However, as an unsupervised learning method, it requires making choices that are nontrivially influenced by the nature of the data involved. The aim of this paper is to verify usefulness of the time series clustering method for macroeconomics research, and to develop the most suitable methodology. 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 analysis of national economies, specifically to identifying their structural relations.

Suggested Citation

  • Augustyński, Iwo & Laskoś-Grabowski, Paweł, 2018. "Clustering Macroeconomic Time Series," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 22(2), pages 74-88.
    • Handle: RePEc:zbw:espost:180670
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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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