Dynamic clustering of multivariate panel data

نویسندگان

چکیده

We propose a dynamic clustering model for uncovering latent time-varying group structures in multivariate panel data. The is three ways. First, the cluster location and scale matrices are to track gradual changes characteristics over time. Second, all units can transition between clusters based on Hidden Markov (HMM). Finally, HMM’s matrix depend lagged distances as well economic covariates. Monte Carlo experiments suggest that be classified reliably variety of challenging settings. Incorporating dynamics composition proves empirically important study 299 European banks 2008Q1 2018Q2. find approximately 3% per quarter average. Transition probabilities part explained by differences bank profitability, suggesting factors contributing low profitability some lead long-lasting financial industry structure.

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ژورنال

عنوان ژورنال: Journal of Econometrics

سال: 2022

ISSN: ['1872-6895', '0304-4076']

DOI: https://doi.org/10.1016/j.jeconom.2022.03.003