Selected Methods of Economic Time Series Analysis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60162694%3AG42__%2F12%3A00478979" target="_blank" >RIV/60162694:G42__/12:00478979 - isvavai.cz</a>
Result on the web
<a href="http://vavtest.unob.cz/registr" target="_blank" >http://vavtest.unob.cz/registr</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Selected Methods of Economic Time Series Analysis
Original language description
The article is focused on selected quantitative methods which can be used for description of economic time series. Vector autoregressive models and cointegration analysis play an important role in description of economic events. Multidimensional non-stationary process is called cointegrated if there is a linear combination of its one-dimensional components, which is stationary or trend-stationary. Economic time series are predominantly non-stationary, nevertheless, one can nd linear links which keep that whole system in so-called long-term equilibrium. The Granger causality test is employed to analyze causal relations between time series. Next useful tools for analysis of economic time series are methods of change point detection. Authors compare standard statistical methods of change point detection with the method based on the sparse parameter estimation. All mentioned methods are applied to real economic data sets.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GPP402%2F10%2FP209" target="_blank" >GPP402/10/P209: Models of time series and methods of change point detection</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
XX International Conference PDMU-2012: Problem of Decision Making under Uncertainties
ISBN
978-80-7231-897-1
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
151-160
Publisher name
UO
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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