Online supplement to 'A panel clustering approach to analyzing bubble behavior

This online supplement has six sections. Section A collects together technical lemmas that are used for membership estimation in the first stage. Section B collects the lemmas needed for post-clustering panel estimation and the bubble detection methods, specifically the post-clustering panel t- and J-tests. Section C collects results and proofs for selecting the number of groups. Section D extends the two-stage algorithm and the corresponding post-clustering statistics to the mixed-root panel autoregressive model with purely stationary, unit, and purely explosive roots. Section E overviews experimental designs and reports simulation findings. Section F contains tables.