Exploratory Analyses of the U.S. Housing Bubble with Kolmogorov Entropy and Principal Component Analysis (PCA)

18 Pages Posted: 17 Apr 2010 Last revised: 7 May 2015

See all articles by Kingsley E. Haynes

Kingsley E. Haynes

Schar School of Policy and Government, George Mason University

Rajendra Kulkarni

Schar School of Policy & Government

Roger R. Stough

George Mason University - School of Policy, Government, and International Affairs

Laurie Schintler

George Mason University - School of Policy, Government, and International Affairs

Date Written: April 15, 2010

Abstract

In this paper we develop an exploratory non-parametric clustering model of spatial and/or spatio-temporal phenomena based on Kolmogorov entropy. The methodology will be tested using quarterly HPI (Housing Price Index) data for 350 plus cities in the US from the Federal Financing and Housing Administration (FHFA), an agency of HUD (US Dept of Housing and Urban Development). This multivariate data will be also analyzed with Principal Component Analysis (PCA) techniques to identify key regions involved in creating the housing bubble and its spread to the rest of cities.

Keywords: Kolmogorov Entropy, K-Means Clustering, Principal Component Analysis

JEL Classification: R12, R2, R32, A, C

Suggested Citation

Haynes, Kingsley E. and Kulkarni, Rajendra and Stough, Roger R. and Schintler, Laurie, Exploratory Analyses of the U.S. Housing Bubble with Kolmogorov Entropy and Principal Component Analysis (PCA) (April 15, 2010). GMU School of Public Policy Research Paper No. 2010-20, Available at SSRN: https://ssrn.com/abstract=1590309 or http://dx.doi.org/10.2139/ssrn.1590309

Kingsley E. Haynes

Schar School of Policy and Government, George Mason University ( email )

Founders Hall
3351 Fairfax Dr.
Arlington, VA 22201
United States

Rajendra Kulkarni (Contact Author)

Schar School of Policy & Government ( email )

Founders Hall
3351 Fairfax Dr.
Arlington, VA 22201
United States

Roger R. Stough

George Mason University - School of Policy, Government, and International Affairs ( email )

Founders Hall
3351 Fairfax Dr.
Arlington, VA 22201
United States
703-993-2268 (Phone)
703-993-5027 (Fax)

Laurie Schintler

George Mason University - School of Policy, Government, and International Affairs ( email )

Founders Hall
3351 Fairfax Dr.
Arlington, VA 22201
United States

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