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    Wyświetlanie 1-4 z 4
    Tytuł:
    Seasonality Revisited - Statistical Testing for Almost Periodically Correlated Stochastic Processes
    Autorzy:
    Lenart, Łukasz
    Pipień, Mateusz
    Powiązania:
    https://bibliotekanauki.pl/articles/483321.pdf
    Data publikacji:
    2013
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    seasonality
    almost periodically correlated stochastic processes
    subsampling
    business cycle
    Opis:
    This article aims at constructing a new method for testing the statistical significance of seasonal fluctuations for non-stationary processes. The constructed test is based on a method of subsampling and on the spectral theory of Almost Periodically Correlated (APC) time series. In the article we consider an equation of a nonstationary process, containing a component which includes seasonal fluctuations and business cycle fluctuations, both described by an almost periodic function. We build subsampling test justifying the significance of frequencies obtained from the Fourier representation of the unconditional expectation of the process. The empirical usefulness of the constructed test is examined for selected macroeconomic data. The article studies survey indicators of economic climate in industry, retail trade and consumption for European countries.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2013, 5, 2; 85-102
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Empirical Properties of the Credit and Equity Cycle within Almost Periodically Correlated Stochastic Processes - the Case of Poland, UK and USA
    Autorzy:
    Lenart, Łukasz
    Pipień, Mateusz
    Powiązania:
    https://bibliotekanauki.pl/articles/2076533.pdf
    Data publikacji:
    2015
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    financial cycle
    business cycle
    discrete spectral analysis
    APC processes
    subsampling approach
    Opis:
    We discuss the notion of the financial cycle making a clear indication that the thorough study of its empirical properties in case of developing economies is still missing. We focus on the observed series of credit and equity and make formal statistical inference about the properties of the cycles in case of Polish economy. The non-standard subsampling procedure and discrete spectral characteristics of almost periodically correlated time series are applied to make formal statistical inference about the cycle. We compare the results with those obtained for UK and USA. We extract the cyclical component and confront empirical properties of the financial cycle for small open economy with those established so far in case of developed economies.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2015, 3; 169-186
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    STATISTICAL ANALYSIS OF BUSINESS CYCLE FLUCTUATIONS IN POLAND BEFORE AND AFTER THE CRISIS
    Autorzy:
    Lenart, Łukasz
    Mazur, Błażej
    Pipień, Mateusz
    Powiązania:
    https://bibliotekanauki.pl/articles/517281.pdf
    Data publikacji:
    2016
    Wydawca:
    Instytut Badań Gospodarczych
    Tematy:
    APC processes
    subsampling
    Bayesian inference
    global economic crisis
    business cycle fluctuations
    Opis:
    The main objective of the paper is to investigate properties of business cycles in the Polish economy before and after the recent crisis. The essential issue addressed here is whether there is statistical evidence that the recent crisis has affected the properties of the business cycle fluctuations. In order to improve robustness of the results, we do not confine ourselves to any single inference method, but instead use different groups of statistical tools, including non-parametric methods based on subsampling and parametric Bayesian methods. We examine monthly series of industrial production (from January 1995 till December 2014), considering the properties of cycles in growth rates and in deviations from long-run trend. Empirical analysis is based on the sequence of expanding-window samples, with the shortest sample ending in December 2006. The main finding is that the two frequencies driving business cycle fluctuations in Poland correspond to cycles with periods of 2 and 3.5 years, and (perhaps surprisingly) the result holds both before and after the crisis. We, therefore, find no support for the claim that features (in particular frequencies) that characterize Polish business cycle fluctuations have changed after the recent crisis. The conclusion is unanimously supported by various statistical methods that are used in the paper, however, it is based on relatively short series of the data currently available.
    Źródło:
    Equilibrium. Quarterly Journal of Economics and Economic Policy; 2016, 11, 4; 769-783
    1689-765X
    2353-3293
    Pojawia się w:
    Equilibrium. Quarterly Journal of Economics and Economic Policy
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Non-Parametric Test for the Existence of the Common Deterministic Cycle: The Case of the Selected European Countries
    Autorzy:
    Lenart, Łukasz
    Pipień, Mateusz
    Powiązania:
    https://bibliotekanauki.pl/articles/2076426.pdf
    Data publikacji:
    2017
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    testing deterministic cycles
    subsampling
    spectral analysis
    almostperiodic mean function
    Almost Periodically Correlated time series
    Opis:
    The aim of the article is to construct an asymptotically consistent test, based on a subsampling approach, to verify hypothesis about existence of the individual or common deterministic cycle in coordinates of multivariate macroeconomic time series. By the deterministic cycle we mean the periodic or almost periodic fluctuations in the mean function in cyclical fluctuations. To construct test we formulate a multivariate non-parametric model containing the business cycle component in the unconditional mean function. The construction relies on the Fourier representation of the unconditional expectation of the multivariate Almost Periodically Correlated time series and is related to fixed deterministic cycle presented in the literature. The analysis of the existence of common deterministic business cycles for selected European countries is presented based on monthly industrial production indexes. Our main findings from the empirical part is that the deterministic cycle can be strongly supported by the data and therefore should not be automatically neglected during analysis without justification.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2017, 3; 201-241
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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