Identification of Non-Linearity in Economic Time Series

• Autorzy: Magdalena Osińska , Joanna Górka
• Języki publikacji: EN

Abstrakty

EN

The purpose of the paper is to compare identification capability of different methods applied to GARCH, stochastic volatility (SV), bilinear (BL) and STUR models via the Monte Carlo experiment. The white noise, SETAR and random walk models are also considered, as their typical properties are already known. We also applied the identification procedures to empirical time series: the Polish financial series and some macroeconomic ones. The results are presented in the final part of the article.(fragment of text)

Słowa kluczowe

EN

Time-series; Time-series analysis; Nonlinear models; Econometrics; GARCH model

PL

Szeregi czasowe; Analiza szeregów czasowych; Modele nieliniowe; Ekonometria; Model GARCH

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 83--92

Twórcy

autor

Magdalena Osińska

• Nicolaus Copernicus University in Toruń, Poland

autor

Joanna Górka

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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