Binary Hidden Markov Models in Analysis of the Results of Business Surveys

• Autorzy: Monika Dędys , Barbara Tarnowska
• Języki publikacji: EN

Abstrakty

EN

In recent years it turned out that Markov Switching Models (MSM) are very useful in analyses of macroeconomic time series. In most papers continuous state space models are considered. However, for the purpose of analyzing time series from business surveys discrete state space models are more suitable. Therefore, we use Hidden Markov Models (HMM), which can be treated as kind of MSM. In particular, we focus on binary HMM to demonstrate their efficacy in inference based on business survey results. In this analysis data base of industry business surveys, carried out by the Research Institute of Economic Development of the Warsaw School of Economics is used. (original abstract)

Słowa kluczowe

EN

Econometric models; Econometric research; Statistical surveys; Mathematical models; State space model; Hidden Markov model

PL

Modele ekonometryczne; Badania ekonometryczne; Badania statystyczne; Modele matematyczne; Model przestrzeni stanu; Ukryty model Markowa

• Czasopismo: Prace i Materiały Instytutu Rozwoju Gospodarczego / Szkoła Główna Handlowa
• Rocznik: 2005
• Numer: nr 75 Economic tendency surveys and cyclical indicators : Polish contribution to the 27th CIRET conference
• Strony: 45--54

Twórcy

autor

Monika Dędys

• Warsaw School of Economics, Poland

autor

Barbara Tarnowska

• Warsaw School of Economics, Poland

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