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Clustering life trajectories: A new divisive hierarchical clustering algorithm for discrete-valued discrete time series
Dlugosz, Stephan - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2011
A new algorithm for clustering life course trajectories is presented and tested with large register data. Life courses … clustering result for this kind of data provides interesting subgroups with similar life course trajectories. The high sampling … information. The new algorithm deals with this problem by simultaneously clustering and identifying critical junctures for each of …
Persistent link: https://www.econbiz.de/10008869216
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Clustering life trajectories : a new divisive hierarchical clustering algorithm for discrete-valued discrete time series
Dlugosz, Stephan - 2011
A new algorithm for clustering life course trajectories is presented and tested with large register data. Life courses … clustering result for this kind of data provides interesting subgroups with similar life course trajectories. The high sampling … information. The new algorithm deals with this problem by simultaneously clustering and identifying critical junctures for each of …
Persistent link: https://www.econbiz.de/10008901833
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Clustering Life Trajectories a New Divisive Hierarchical Clustering Algorithm for Discrete-Valued Discrete Time Series
Dlugosz, Stephan - 2011
A new algorithm for clustering life course trajectories is presented and tested with large register data. Life courses … clustering result for this kind of data provides interesting subgroups with similar life course trajectories. The high sampling … information. The new algorithm deals with this problem by simultaneously clustering and identifying critical junctures for each of …
Persistent link: https://www.econbiz.de/10013129988
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Implicit Contracts and Price Stickiness: Evidence from Customer-Level Scanner Data
VERHELST, B.; POEL, D. VAN DEN - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2012
This paper uses scanner data at the individual customer level, compiled from the loyalty card database of a European retailer, to determine the importance of implicit contracts as a source of price stickiness. Drawing from Customer Relationship Management (CRM), we use segmentation techniques...
Persistent link: https://www.econbiz.de/10011083106
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Testing for Structural Changes in Large Dimensional Factor Models via Discrete Fourier Transform
Fu, Zhonghao - 2020
We propose a new test for structural changes in large dimensional factor models via a discrete Fourier transform (DFT) approach. If structural changes occur, the conventional principal component analysis fails to estimate common factors and factor loadings consistently. The estimated residuals...
Persistent link: https://www.econbiz.de/10012838882
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Forecasting Macro-Financial Variables in an International Data-Rich Environment Vector Autoregressive Model (iDREAM)
De Meo, Emanuele - 2018
We propose a new data-rich environment model of the yield curve, the macroeconomy, monetary policies and effective exchange rates for a panel of 11 countries: the iDREAM. The endogenous variables are observable (short- and long-term interest rates, exchange rates) and latent factors (economic...
Persistent link: https://www.econbiz.de/10012916500
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Forecasting a Nonstationary Time Series with a Mixture of Stationary and Nonstationary Factors as Predictors
Hannadige, Sium - 2020
This paper develops a method for forecasting a nonstationary time series, such as GDP, using a set of high-dimensional panel data as predictors. To this end, we use what is known as a factor augmented regression [FAR] model that contains a small number of estimated factors as predictors; the...
Persistent link: https://www.econbiz.de/10012834890
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Detecting Granular Time Series in Large Panels
Brownlees, Christian T. - 2018
Large economic and financial panels often contain time series that influence the entire cross-section. We name such series granular. In this paper we introduce a panel data model that allows to formalize the notion of granular time series. We then propose a methodology, which is inspired by the...
Persistent link: https://www.econbiz.de/10012932773
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Technical Appendix to Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models
Chao, John C.; Swanson, Norman R. - 2022
Persistent link: https://www.econbiz.de/10013306503
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Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models
Chao, John C.; Swanson, Norman R. - 2022
In the context of latent factor models that are widely used in economics, a common assumption made is one of factor pervasiveness, which implies that all available predictor or informative variables in a dataset, with the possible exception of a negligible number of them, load significantly on...
Persistent link: https://www.econbiz.de/10013306504