Seasonality modelling of time and savings deposits of households by state-space models
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19240%2F01%3A%230001862" target="_blank" >RIV/47813059:19240/01:#0001862 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Seasonality modelling of time and savings deposits of households by state-space models
Original language description
Lots of econometric models discussed in the literature are the models that contain trend and error components only. We now present the method seldom used for modelling trend (deterministic component), seasonal and error component using the dynamic modelsin state-space form. Model parameters are time varying Their development is estimated adaptively by the Kalman recursions. In recent years quantitative systems based on the state-space representation have been used. Based on the fact that economic and financial time series of quarterly and monthly or high frequency data contain seasonality, we do not take the seasonality into account, because the econometric model and forecasting method become only second best. A widely used method to incorporate the seasonality into the econometric models is the approach known as the decomposition method.
Czech name
Statistické, ekonometrické modely a modely založené na stavové formě pro úspory domácností
Czech description
Článek prezentuje modelování a predikci časové řady se sezónní, trendovou a stochastickou složkou pomocí statistické rozkladové metodologie a modelování pomocí stavově-prostorové reprezentace s Kalmanovými rekurzivními procedurami. V článku je srovnávánaaproximační a predikční (prognózy ex-post) přesnost obou metodologií. Ukázalo se, že stavová-prostorová reprezentace modelu má kvalitativně lepší predikční vlastnosti než modely založené na klasické statistické, příp. ekonometrické metodologii.
Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
IN - Informatics
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2001
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
EKONOMICKY CASOPIS
ISSN
0013-3035
e-ISSN
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Volume of the periodical
2001
Issue of the periodical within the volume
49
Country of publishing house
SK - SLOVAKIA
Number of pages
16
Pages from-to
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UT code for WoS article
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EID of the result in the Scopus database
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