Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2002 | 5 | 147--159
Tytuł artykułu

On the Use of Lagged Cointegrating Relationships in Forecasting Business Activity

Warianty tytułu
Języki publikacji
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)
Opis fizyczny
  • Nicolaus Copernicus University in Toruń, Poland
  • 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
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.