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2004 | nr 74 | 271--281
Tytuł artykułu

Spectral Analysis of Growth Cycles

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The aim of this paper is to analyse by means of spectral analysis cyclical changes in statistical indicators reflecting the development of Poland's economy in the period of 1975-2002. The dynamics of the aggregate economic activity is reflected by the General Coincident Indicator (GCI), developed by Z. Matkowski. It is a proxy to the nonexistent monthly GDP statistics, calculated as a weighted average of indexes showing the output or sales volumes in five major sectors of economy: industry, construction, agriculture, transports, and trade, weighted by their yearly shares in GDP. The component series have been compiled from the official statistics. The paper is a follow-up study to our earlier research (Łuczyński and Matkowski, 1999) on the subject. However, this study brings new results based on updated time series and it employs another concept of growth cycle, which is now analysed in terms of growth rates rather than trend deviations. (fragment of text)
The aim of this paper is to analyse by means of spectral analysis cyclical changes in statistical indicators reflecting the development of Poland's economy in the period of 1975-2002. The dynamics of the aggregate economic activity is reflected by the General Coincident Indicator (GCI), developed by Z. Matkowski. It is a proxy to the nonexistent monthly GDP statistics, calculated as a weighted average of indexes showing the output or sales volumes in five major sectors of economy: industry, construction, agriculture, transports, and trade, weighted by their yearly shares in GDP. The component series have been compiled from the official statistics. The paper is a follow-up study to our earlier research (Łuczyński and Matkowski, 1999) on the subject. However, this study brings new results based on updated time series and it employs another concept of growth cycle, which is now analysed in terms of growth rates rather than trend deviations. (fragment tekstu)
Rocznik
Numer
Strony
271--281
Opis fizyczny
Twórcy
  • Economic Academy of Poznań
  • Warsaw School of Economics, Poland
Bibliografia
  • Aczel A. D., 1997. Statystyka w zarządzaniu (Statistics in management). Warszawa.
  • Bierens H.J., 1997. Testing the Unit Root Hypothesis Against Nonlinear Trend Stationarity, with an Application to the Price Level and Interest Rate in the U.S. "Journal of Econometrics" 81, 29-64.
  • Bierens H.J., 1999: Unit Root. [in:] Badi Baltagi (ed.), Companion in Theoretical Econometrics, Blackwell Publishers.
  • Bierens H.J., 2001. Complex Unit Roots and Business Cycles: Are They Real? "Econometric Theory" 17, 962-983.
  • Bierens H.J., 2001. EasyReg International. University Park, PA: Department of Economics, Pennsylvania State University.
  • Bierens H.J., 2002. Forecasting. http://econ.la.psu.edu/~hbierens/FORECAST.PDF.
  • Charemza W.W., Deadman D.F., 1997. Nowa ekonometria (New econometrics). Warszawa.
  • Chow G.C., 1995. Ekonometria (Econometrics). Warszawa.
  • Cieślak M., 2001. Prognozowanie gospodarcze, metody i zastosowanie (Economic forecasting: methods and applications). Warszawa.
  • Dąbkowski J., 2000. O problemie redukcji wymiarów. Kraków.
  • Dickey D.A., Fuller W.A., 1979. Distributions of the Estimators for Autoregressive Time Series with a Unit Root, "Journal of the American Statistical Assotiation" 74, 427-431.
  • Dittmann P. 2000., Metody prognozowania sprzedaży w przedsiębiorstwie (Methods of sale forecasting in the enterprise). Wrocław.
  • Gruszczyński M., Podgórska M., 1996. Ekonometria (Econometrics). Warszawa.
  • Gujarati D.N., 1995. Basic Econometrics. International Edition.
  • Harris R., 1995. Cointegration Analysis in Econometric Modelling. London.
  • Kobus P., Pietrzykowski R., Zieliński W., 2001. Statystyka z pakietem Statistica (Statistics with the software Statistica). Warszawa.
  • Luszniewicz A., Słaby T., 2001. Statystyka z pakietem komputerowym Statistica PL (Statistics with the software Statistica PL). Warszawa.
  • Łuczyński W., Matkowski Z.,1999. Analiza spektralna wahań aktywności gospodarczej w Polsce (Spectral analysis of business cycles in Poland). [in:] Z. Matkowski (ed.), Barometry koniunktury dla gospodarki polskiej (Barometers of business activity for Poland), Prace i Materiały IRG 64, 213-231. Warszawa: SGH.
  • Ostasiewicz W., 1999. Statystyczne metody analizy danych (Statistical methods of data analysis). Wrocław.
  • Sherman H.J., Kolk D.X., 1996. Business Cycles and Forecasting. New York.
  • Talaga L., Zieliński Z., 1986. Analiza spektralna w modelowaniu ekonometrycznym (Spectral analysis in econometris modelling). Warszawa.
  • Welfe A., 1995. Ekonometria (Econometrics). Warszawa.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171236971

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