Temat: structural time series

Skocz do pozycji: 1.

Tytuł:: Structural changes in eggs prices in European Union member states
Autorzy:: Jaworski, Stanisław
Tematy:: Correspondence analysis
Correlation
Dendrogram
Structural time series models; Pokaż więcej
Wydawca:: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Powiązania:: https://bibliotekanauki.pl/articles/453565.pdf Link otwiera się w nowym oknie
Opis:: The work relates to changes of the eggs prices in European Union member states since 2004 to 2010. The analysis is based on annually, monthly and weekly average eggs prices. Correspondence analysis is applied to analyze the direction and structure of the changes with reference to all considered states. The unexpected and violent price changes are captured with respect to particular states. Moreover in the reference to chosen states, the model of structural time series analysis is applied to show the price changes in a more detail.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: The Impact of the Turkish Presidential System on the Turkish Lira
Autorzy:: Akarsu, Mahmut Zeki
Tematy:: Turkish Lira
Currency
Democracy
Bayesian structural time-series model; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Powiązania:: https://bibliotekanauki.pl/articles/2047065.pdf Link otwiera się w nowym oknie
Opis:: The political system always has a significant impact on economic indicators. Currency exchange is one of the indicators, which is influenced directly or indirectly by political developments. Investors and economic agents make investment decisions by not only economic outcomes but also political developments. Turkey is one of the countries, which can be an example of a domestic currency losing value significantly due to undemocratic political actions since the 2017 referendum. Therefore, in this study, the impact of the new presidential system on the Turkish Lira is investigated using the Bayesian structural time-series model in R software. According to the literature search, this study is the first article that analyzes how much the Turkish Lira decoupled negatively from peers and how badly the Turkish presidential system harms the Turkish Lira. According to the result, the undemocratic and unorthodox economic and political implementations cause the Turkish Lira to have dropped sharply and have decoupled negatively from other currencies significantly.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: A few remarks on the stochastic structure of the unemployment rate in Poland by gender
Kilka uwag o stochastycznej strukturze stopy bezrobocia w Polsce według płci
Autorzy:: Jaworski, Stanisław
Tematy:: Unemployment rate
rotational design
structural time series
poziom bezrobocia
plany rotacyjne
strukturalne szeregi czasowe; Pokaż więcej
Wydawca:: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Powiązania:: https://bibliotekanauki.pl/articles/425032.pdf Link otwiera się w nowym oknie
Opis:: The quarterly unemployment rate from the Labour Force Survey covering Poland’s data from the first quarter 2005 to the third quarter 2019 was investigated. The issue was to reveal its stochastic structure as a trend, seasonality and disturbance and to make a prognosis. The analysed data comes from a survey based on rotational design, so the problem of possibly autocorrelated survey errors was taken into consideration. Following Harvey (2000), Pfeffermann, Feder, and Signorelli (1997), Yu and Mantel (1997) and Bell and Carolan (1998) it seemed to be of great importance to include the proper autocorrelation structure of the errors into a statistical treatment. It appeared that for Polish unemployment data that structure was not as it could have been expected. After the model was fitted to the data, a conclusion about the specificity of the unemployment rate with respect to gender was drawn. Unemployment forecast until 2020:Q4 is provided.
Analizowana jest kwartalna stopa bezrobocia według Badania Aktywności Ekonomicznej Ludności w zakresie od pierwszego kwartału 2005 r. do trzeciego kwartału 2019 r. Celem pracy jest dopasowanie strukturalnego modelu szeregu czasowego obejmującego trend, sezonowość oraz błąd, a także wyprowadzenie prognozy bezrobocia. Ponieważ analizowane dane zebrano według rotacyjnego planu losowania, błędy powinny być ze sobą skorelowane. Zgodnie z sugestią autorów, takich jak: Harvey (2000), Pfeffermann i in. (1997), Yu i in. (1997) oraz Bell i in. (1998), wzięcie tego faktu pod uwagę jest niezwykle ważne przy wyborze modelu statystycznego. Okazało się, że w przypadku analizowanych danych postać zależności błędów nie jest taka, jakiej by należało oczekiwać. Po uwzględnieniu struktury szeregu czasowego stopy bezrobocia dopasowano odpowiedni model. Na podstawie oceny składowych modelu porównano poziom bezrobocia wśród kobiet i mężczyzn oraz wyprowadzono prognozę do czwartego kwartału 2020 r.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: W poszukiwaniu demograficznych efektów rządowego programu „Rodzina 500 Plus”
In Search of Demographic Effects of Polish Government’s “Family 500 Plus” Program
Autorzy:: Bartnicki, Sławomir
Alimowski, Maciej
Tematy:: demografia społeczna
„Rodzina 500 plus”
Bayesian StructuralTime Series (BSTS)
CausalImpact
social demography
“Family 500 plus”
Bayesian Structural Time Series
(BSTS); Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Powiązania:: https://bibliotekanauki.pl/articles/2134326.pdf Link otwiera się w nowym oknie
Opis:: W artykule oceniamy skutki demograficzne rządowego programu „Rodzina 500 Plus” (500+) za pomocą Bayesowskich Strukturalnych Szeregów Czasowych (ang. Bayesian Structural Time Series; BSTS). Stwierdzamy, że program od jego wprowadzenia do końca 2017 roku w skali miesiąca zwiększył urodzenia o 4,5%, co przełożyło się na średnio 1420 dodatkowych urodzeń w każdym miesiącu. Co oznacza, że jedno urodzenie wiązało się z wydatkowaniem prawie 1,4 mln złotych w ramach programu w tym czasie. W połowie 2019 roku, czyli w momencie rozszerzenia świadczeń na pierwsze dzieci, program nie wykazywał już wpływu na urodzenia. 500+ do końca 2017 roku nie wpłynął na decyzje o posiadaniu pierwszego dziecka. Program wywołał najwięcej urodzeń piątych, trzecich, czwartych i wreszcie drugich. Efekty programu są słabsze w porównaniu do interwencji pronatalistycznych w innych państwach, przy relatywnie wysokich kosztach. Zaproponowany szacunek efektywności programu w przeliczeniu na jedno urodzenie daje w przyszłości możliwość oceny kolejnej interwencji w tym zakresie.
In this article, we evaluate the demographic effects of the Polish government “Family 500 Plus” program (500+) using Bayesian Structural Time Series (BSTS). We find that the program increased births by 4.5% per month from its introduction to the end of 2017, which translated into an average of 1,420 additional births each month. Meaning that one birth was associated with spending nearly 1.4 million under the program during that time. By mid-2019, when benefits were extended to first children, the program no longer showed an impact on births. 500+ did not affect decisions to have first child by the end of 2017. The program induced most fifth, third, fourth, and finally second births. The program’s effects are weaker compared to pronatalist interventions in other countries, at a relatively high cost. The proposed estimate of the program’s effectiveness per birth provides an opportunity to evaluate another pronatalist intervention in the future.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 5.

Tytuł:: Time-series dynamics of Baltic trade flows: Structural breaks, regime shifts, and exchange-rate volatility
Autorzy:: Hegerty, Scott W.
Tematy:: Baltics
Structural breaks
Time series
Trade flows; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Powiązania:: https://bibliotekanauki.pl/articles/2054532.pdf Link otwiera się w nowym oknie
Opis:: Aim/purpose – In the decades since their reintegration with the West, the small open economies of Estonia, Latvia, and Lithuania have seen their trade flows grow substantially. While the mix of trade partners has evolved over time, the region has been affected by various political and economic shocks. This study examines the bilateral trade balances between the Baltic countries and nine partners to investigate whether there have been structural breaks due to political or economic events. Because these events may have been “priced into” exchange rates or increased these rates’ volatility, connections between these variables and trade balances are also considered. Design/methodology/approach – Monthly data beginning in 1994 are taken from the International Monetary Fund’s Direction of Trade Statistics [DOTS]. Trade partners include the Nordic countries of Finland, Sweden, and Norway, as well as Poland, Russia, and the United States and country groupings such as the CIS, Advanced Economies, and the World. Ratios of the export and import values are used to create bilateral trade balances. The Bai–Perron (1998) structural break test is then used to identify “break points” that can classify time periods into regimes. Baltic nominal and real effective exchange rates, both in log changes and as a GARCH-based volatility measure, show whether regimes correspond to competitiveness or risk. Correlations are calculated to show links between bilateral trade balances and real exchange rates. Findings – Each trade balance has at least one structural break; many have more. In fewer than half of the cases do these correspond to specific events such as EU accession or the Global Financial Crisis. Trade with Russia has decreased, particularly for Estonia and Latvia. But many partners with historical ties, such as Estonia-Finland, Latvia-Sweden, and Lithuania-Poland have more breaks than do other partners (such as Estonia-Poland). Structural breaks in real exchange-rate returns and volatility do not match those of trade balances, and correlations between returns and trade balances are low. Research implications/limitations – These findings open the door to future research on the macroeconomic and cultural/historical factors behind these trade linkages and any changes in regimes. However, no structural determinants have yet been estimated. Originality/value/contribution – This study isolates changes in trade regimes, which can be further explained by specific events or particular dates. It also shows that variance has changed as well as the mean, but this differs by country and by the partner.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY
Autorzy:: Stawiarski, Bartosz
Tematy:: volatility
structural breaks
financial time series
logarithmic returns
Threshold-GARCH model; Pokaż więcej
Wydawca:: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Powiązania:: https://bibliotekanauki.pl/articles/599704.pdf Link otwiera się w nowym oknie
Opis:: We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng’s algorithm is carried out via numerical simulation in the case of simulated T-GARCH models and two real series, namely German and US stock indices. Simulations show that the NPCPM algorithm is superior to ICSS because is not over-sensitive either to heavy tails of market returns or to their serial dependence. Some signals generated by ICSS are falsely classified as structural breaks in volatility, while Cheng’s technique works well only when a single break occurs.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 7.

Tytuł:: The efficiency of single base and network RTK for Structural Health Monitoring
Autorzy:: Topal, Güldane Oku
Akpinar, Burak
Tematy:: odbiornik GPS
GNSS
sejsmometr
network RTK
structural health monitoring
single base RTK
shake table
time series analysis; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Czasopisma i Monografie PAN
Powiązania:: https://bibliotekanauki.pl/articles/43852792.pdf Link otwiera się w nowym oknie
Opis:: With the developing technology and increasing construction, the importance of structural observations, which are of great significance in disaster management, has increased. Geodetic methods have been preferred in recent years due to their high accuracy and ease of use in Structural Health Monitoring (SHM) Surveys. In this study, harmonic oscillation tests have been carried out on a shake table to determine the usability of the Single Base and the Network Real-Time Kinematic (RTK) Global Navigation Satellite Systems (GNSS) method in SHM studies. It is aimed to determine the harmonic movements of different amplitudes and frequencies created by the shake table with 20 Hz multi-GNSS equipment. The amplitude and frequency values of the movements created using Fast Fourier Transform (FFT) and Time Series Analysis have been calculated. The precision of the analysis results has been determined by comparing the LVDT (Linear Variable Differential Transformer) data, which is the position sensor of the shake table, with the GNSS data. The advantages of the two RTK methods over each other have been determined using the calculated amplitude and frequency differences. As a result of all experiments, it has been determined that network and single base RTK GNSS methods effectively monitor structural behaviours and natural frequencies.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 8.

Tytuł:: Monetary determinants of output dynamics in the light of the structural vector-autoregressive SVAR model: a Keynesian approach
Autorzy:: Kołbyko, Patryk Norbert
Tematy:: endogenous money creation
macroeconometrics
monetary theory of the business cycle
time series decomposition
structural vector-autoregressive model; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Powiązania:: https://bibliotekanauki.pl/articles/20312085.pdf Link otwiera się w nowym oknie
Opis:: PURPOSE: The purpose of the following paper is to analyze and empirically verify the monetary theory of business cycles as a mechanism for the interaction of the dynamics of production and money supply based on the example of the Polish economy. In order to identify and mitigate the risk of economic fluctuations as a function of the response of the central bank, it is necessary to conduct an extensive analysis of the indirect mechanism of transmission of monetary impulses on production in the economy. DESIGN/METHOD: Empirical analysis was carried out by estimating a macroeconometric time series model taking into account the inductive information based on the Keynesian theory the structural vector-autoregressive SVAR model. The stochastic process included in the study was based on statistical data of Poland, which were obtained from the cyclical reports: ‘Preliminary estimate of gross domestic product’ and ‘Quarterly accounts of gross domestic product in 2017-2021’, Poland’s Central Statistical Office and the National Bank of Poland's databases for the time interval of 2007.Q1-2022.Q2. RESULTS/FINDINGS: The applied empirical analysis positively verified the existence of an indirect monetary impulse transmission mechanism in Poland’s economy. The obtained research has positively verified the compatibility of the monetary theory of the business cycle in terms of the Keynesian theory with the macroeconomic reality in Poland. The results of the research justify the measures to mitigate the risk of economic instability and impose a requirement for discretionary policy by the National Bank of Poland. ORIGINALITY/VALUE: The following work addresses an important element of the macroeconomic analysis, specifically the monetary theory of the business cycle. The originality of the work stems from the empirical attempt to verify the monetary theory of the business cycle taking into account the indirect mechanism of transmission of monetary impulses on the grounds of the statistical data from the Polish economy.
Dostawca treści:: Biblioteka Nauki

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