Modeling of the Dependence Between the Space-Time Processes

• Autorzy: Elżbieta Szulc
• Języki publikacji: EN

Abstrakty

EN

The main thesis of the paper is a statement, that the basis of an appropriate modeling of the dependence between the space-time processes is to consider their internal structures. The space-time processes are characterized by the sets of double indexed variables i t X_ui,_t, the so-called random fields. The models of such random fields, discussed in sections 2 and 3 of the paper, have got an essential significance for the specification of the dependence between the space-time processes. The models, discussed in section 4, take into account the principle of the time, space and space-time "dynamics" - which manifests itself by the specification of the appropriate time lags, space shifts, and also simultaneous spacetime shifts in the modeling of the dependence - and the principle of congruency as well, which is an extension of the principle of the congruency, used in econometrics for the linear dynamic modeling of the dependence of the stochastic processes. The advantages for the modeling of the dependence of economic space-time processes resulting from such an approach are pointed out. The theoretical considerations are illustrated - in section 5 - by an empirical example, which refers to the dependence between unemployment rate and average monthly gross wages and salaries in enterprise sector in Poland. In section 6 the conclusions are formulated and the directions for further investigations are announced. (fragment of text)

Słowa kluczowe

EN

Modeling of time-space; Econometric models; Dependency analysis; Unemployment rate; Remuneration

PL

Modelowanie zjawisk czasowo-przestrzennych; Modele ekonometryczne; Analiza zależności; Stopa bezrobocia; Wynagrodzenia

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2008
• Tom: 8
• Strony: 85--94

Twórcy

autor

Elżbieta Szulc

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

• Cressie, N. A. (1993), Statistics for Spatial Data, John Wiley & Sons, New York.
• Giacomini, R., Granger, C. W. J. (2004), Aggregation of Space-Time Processes, Journal of Econometrics, 118/1-2, 7-26.
• Hopper, P. M., Hewings, G. J. D. (1981), Some Properties of Space-Time Processes, Geographical Analysis, 13, 202-223.
• Szulc, E. (1998), On Conformable Econometric Modeling of Space-Time Series, in: Dynamic Econometric Models, 3, UMK, Toruń, 153-166.
• Szulc, E. (2003), Identyfikacja odstępów czasowych realizacji zależności w przestrzenno-czasowych modelach ekonometrycznych, in: A. Zeliaś (red.), Przestrzennoczasowe modelowanie i prognozowanie zjawisk gospodarczych, AE, Kraków (Identification of the Time Lags of Realisation of Dependence in Spatiotemporal Econometric Models, in: A. Zeliaś (ed.) Spatial-time Modeling and Forecasting of the Economic Phenomena, Academy of Economics, Cracow), 357-366.
• Szulc, E. (2007), Ekonometryczna analiza wielowymiarowych procesów gospodarczych, UMK, Toruń (Econometric Analysis of Multidimensional Economic Processes).