Warianty tytułu
Języki publikacji
Abstrakty
A nonstationary economic process can be non-stationary at the level of the process, so it can have a deterministic trend, or it can also be nonstationary in the variance and covariance function. In the latter case what is used is a notion of an integrated process, i.e. a process, which needs differencing d times to attain stationarity. An integrated process is characterised by the presence of a stochastic trend, by which we mean a tendency for long-lasting deviations from the mean value of the process1.(fragment of text)
Twórcy
autor
- Nicolaus Copernicus University in Toruń, Poland
Bibliografia
- Auerbach, A. J. (1982), The Index of Leading Indicators: Measurement without Theory, Thirty-Five Years Later, The Review of Economics and Statistics, 64.
- Barczyk, R., Kowalczyk, Z. (1993), Metody badania koniunktury gospodarczej (Methods of Measuring Business Activity), Wydawnictwo Naukowe PWN, Warszawa - Poznań.
- Box, G. E. P., Newbold, P. (1971), Some Comments on A Paper of Coen, Gomme, and Kendall, JRSS A, 134.
- Bruzda, J. (2001), Identification of causality lags on the basis of generalised cross-correlation coefficients - simulation analysis and empirical examples, Dynamic Econometric Models, this volume.
- Camba-Mendez, G., Kapetanios, G., Weale, M. R. (1999), The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy and the UK, National Institute of Economic and Social Research, Discussion Paper, 155.
- Charemza, W. W., Deadman, D. F. (1997), New Directions in Econometric Practice, Edward Elgar, second edition.
- Diebold, F. X., Rudebusch, G. D. (1991), Forecasting Output with the Composite Leading Index: An Ex Ante Analysis, JASA, 86.
- Drozdowicz-Bieć, M. (1999), Wskaźniki wyprzedzające dla polskiej gospodarki (Leading Indicators for Polish Economy), paper prepared for the conference Business Activity in Poland, SGH, Warszawa, 22nd October 1999, mimeo.
- Emerson, R. A., Hendry, D. F. (1996), An Evaluation of Forecasting Using Leading Indicators, Journal of Forecasting, 15.
- Engle, R. F., Granger, C. W. J. (1987), Co-integration and Error Correction: Representation, Estimation and Testing, Econometrica, 55.
- Granger, C. W. J. (1980), Forecasting in Business and Economics, Academic Press, Inc.
- Granger, C. W. J. (1981), Some Properties of Time Series Data and Their Use in Econometric Model Specification, Journal of Econometrics, 16.
- Hamilton, J. D., Perez-Quiros, G. (1996), What Do the Leading Indicators Lead? Journal of Business, 69.
- Hendry, D. F. (1997), Dynamic Econometrics, OUP.
- Hoos, J., Muszely, G., Kudrycka, I., Nilsson, R. (1996), Cyclical Indicators for Poland and Hungary, paper presented at OECD Composite Leading Meeting, Paris, 17th-18th October 1996.
- Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59.
- Leading economic indicators: New approaches and forecasting records (1991), Lahiri K., Moore, G. H. (ed.), CUP.
- Mills, T. C. (1993), The Econometric Modelling of Financial Time Series, CUP.
- Osterwald-Lenum, M. (1992), A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics, Oxford Bulletin of Economics and Statistics, 54.
- Phillips, P. C. B., Loretan, M. (1991), Estimating Long - Run Economic Equilibria, Review of Economic Studies, 58.
- Prognozowanie gospodarcze. Metody i zastosowania (Economic Forecasting. Methods and Applications) (2000), M. Cieślak (ed.), Wydawnictwo Naukowe PWN, Warszawa.
- Reinmuth, J. E., Geurts, M. D. (1979), A Multideterministic Approach to Forecasting, in: Makridakis, S., Wheelwright, S. C. (ed.), Forecasting, North-Holland Publishing Co.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171298389