Dynamic clustering of multivariate panel data

DOI10.1016/j.jeconom.2022.03.003OpenAlexW4229031081MaRDI QIDQ6090574

Bernd Schwaab, Julia Schaumburg, Igor Custodio João, André Lucas

Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/b300fb6d-8972-4c40-aa86-e8d8880da2ec

zbMATH Keywords

hidden Markov modelpanel datadynamic clusteringbank business modelsscore-driven dynamics

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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