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2002 | 5 | 161--173
Tytuł artykułu

Identification of Causality Lags on the Basis of Generalised Cross-correlation Coefficients : Simulation Analysis and Empirical Examples

Autorzy
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
In this paper an alternative approach to the non-parametric identification of causal time lags in econometrics was presented: a method utilising the so-called smoothed cross-correlation coefficients. It was proved that a time delay estimation problem, which appears in signal processing domain, is a more general case of an econometric problem of identification of a causality lag. The well-known econometric methods of measuring time distances between causes and effects have been compared with methods from signal processing domain with the help of a simulation analysis. In some cases the newly proposed methods turned out to be more effective than the traditional methods.(fragment of text)
Rocznik
Tom
5
Strony
161--173
Opis fizyczny
Twórcy
  • Nicolaus Copernicus University in Toruń, Poland
Bibliografia
  • Box, G. E. P., Jenkins G. M. (1983), Time Series Analysis: Forecasting and Control (in Polish), PWN, Warszawa.
  • Bruzda, J. (2001), Metody identyfikacji kauMethods of Identification of Causal Time Lags in Linear Economic Relationships, unpublished Ph.D. thesis, UMK, Toruń.
  • Carter, G. C. (1987), Coherence and Time Delay Estimation, Proceedings of IEEE, 75.
  • Chan, Y. T., Hattin R. V., Plant J. B. (1978), The Least Squares Estimation of Time Delay and Its Use in Signal Detection, IEEE Transation on Acoustic, Speech, Signal Processing, 26.
  • Chan, Y. T., Riley J. M., Plant J. B. (1980), A Parameter Estimation Approach to Time Delay Estimation and Signal Detection, IEEE Transation on Acoustic, Speech, Signal Processing, 28.
  • Chan, Y. T., Riley J. M., Plant J. B. (1981), Modeling of Time Delay and Its Application to Estimation of Nonstationary Delay, IEEE Transation on Acoustic, Speech, Signal Processing, 29.
  • Economic Forecasting. Methods and Applications (Prognozowanie gospodarcze. Metody i zastosowania) (2000), M. Cieślak (ed.), Wydawnictwo Naukowe PWN, Warszawa.
  • Etter, D. M., Stearns S. D. (1981), Adaptive Estimation of Time Delay in Sampled Data System, IEEE Transation on Acoustic, Speech, Signal Processing, 29.
  • Feige, E. L., Pearce D. K. (1979), The Casual Causal Relationship Between Money and Income: Some Caveats for Time Series Analysis, The Review of Economics and Statistics, 61.
  • Feintuch, P. L., Bershad N. J., Reed F. A. (1981), Time Delay Estimation Using the LMS Adaptive Filter - Dynamic Behaviour, IEEE Transation on Acoustic, Speech, Signal Processing, 29.
  • Knapp, C. H., Carter G. C. (1976), The Generalized Correlation Method for Estimation of Time Delay, IEEE Transation on Acoustic, Speech, Signal Processing, 24.
  • Kudrycka, I. (1995), Metody badania koniunktury na podstawie szeregów czasowych ("Methods of Testing for Economic Activity on the Basis of Time Series), Ekonomista, 4.
  • Mars, N. J. I., Van Arragon G. W. (1981), Time Delay Estimation in Nonlinear Systems, IEEE Transation on Acoustic, Speech, Signal Processing, 29.
  • Nikias, C. L., Petropulu A. P. (1993), Higher - order Spectra Analysis. A Nonlinear Signal Processing Framework, PTR Prentice Hall, Englewood Cliffs, New Jersey.
  • Percival, D. B., Walden A. T. (1993), Spectral Analysis for Physical Applications: Multitaper and Conventional Univariate Techniques, Cambridge University Press.
  • Priestley, M. B. (1981), Spectral Analysis and Time Series, vol. 1 and 2, Academic Press.
  • Scarbrough, K., Ahmed N., Carter G. C. (1981), On the Simulation of a Class of Time Delay Estimation Algorithms, IEEE Transation on Acoustic, Speech, Signal Processing, 29.
  • Stawicki, J. (1993), Metody filtracji w modelowaniu procesów ekonomicznych, (Filtration Methods in Modelling Economic Processes, UMK, Toruń.
  • Stokes, H. H., Neuburger H. (1979), The Effect of Monetary Changes on Interest Rates: A Box-Jenkins Approach, The Review of Economics and Statistics, 61.
  • Talaga, L., Zieliński Z. (1986), Analiza spektralna w modelowaniu ekonometrycznym (Spectral Analysis in Econometric Modelling), PWN, Warszawa.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171298405

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