Selected Methods of Economic Time Series Analysis

Kód výsledku v 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>

Výsledek na webu

<a href="http://vavtest.unob.cz/registr" target="_blank" >http://vavtest.unob.cz/registr</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Selected Methods of Economic Time Series Analysis

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Selected Methods of Economic Time Series Analysis

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

—

Projekt

<a href="/cs/project/GPP402%2F10%2FP209" target="_blank" >GPP402/10/P209: Modely časový řad a metody detekce změn</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název statě ve sborníku

XX International Conference PDMU-2012: Problem of Decision Making under Uncertainties

ISBN

978-80-7231-897-1

ISSN

—

e-ISSN

—

Počet stran výsledku

10

Strana od-do

151-160

Název nakladatele

UO

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2012

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

—