Discussion on implicit econometric models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F16%3A10329879" target="_blank" >RIV/00216208:11320/16:10329879 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Discussion on implicit econometric models

Popis výsledku v původním jazyce

Random processes with convenient properties are employed to model observed data, particularly, coming from economy and finance. We will focus our interest in random processes given implicitly as a solution of a functional equation. For example, random processes MA, AR, ARMA, ARCH, GARCH are belonging in this wide class. Their common feature can be expressed by requirement that stated random process together with incoming innovations must fulfill a functional equation. Functional dependence is linear for MA, AR, ARMA. We consider a general functional dependence, but, existence of a forward and a backward equivalent rewritings of the given functional equation is required. We present a concept of solution construction giving uniqueness of assigned solution. The procedure works as a symbolic solution. I present in my contribution the class of implicit models where forward and backward rewritings are possible. Three illustrative examples are included.

Název v anglickém jazyce

Discussion on implicit econometric models

Popis výsledku anglicky

Random processes with convenient properties are employed to model observed data, particularly, coming from economy and finance. We will focus our interest in random processes given implicitly as a solution of a functional equation. For example, random processes MA, AR, ARMA, ARCH, GARCH are belonging in this wide class. Their common feature can be expressed by requirement that stated random process together with incoming innovations must fulfill a functional equation. Functional dependence is linear for MA, AR, ARMA. We consider a general functional dependence, but, existence of a forward and a backward equivalent rewritings of the given functional equation is required. We present a concept of solution construction giving uniqueness of assigned solution. The procedure works as a symbolic solution. I present in my contribution the class of implicit models where forward and backward rewritings are possible. Three illustrative examples are included.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

34TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS (MME 2016)

ISBN

978-80-7494-296-9

ISSN

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e-ISSN

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Počet stran výsledku

5

Strana od-do

501-505

Název nakladatele

TECHNICAL UNIVERSITY LIBEREC

Místo vydání

LIBEREC

Místo konání akce

Liberec

Datum konání akce

6. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000385239500086