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  • The article is focused on selected quantitative methods which can be used for description of economic time series. Vector autoregressive models and cointegration analysis play an important role in description of economic events. Multidimensional non-stationary process is called cointegrated if there is a linear combination of its one-dimensional components, which is stationary or trend-stationary. Economic time series are predominantly non-stationary, nevertheless, one can nd linear links which keep that whole system in so-called long-term equilibrium. The Granger causality test is employed to analyze causal relations between time series. Next useful tools for analysis of economic time series are methods of change point detection. Authors compare standard statistical methods of change point detection with the method based on the sparse parameter estimation. All mentioned methods are applied to real economic data sets.
  • The article is focused on selected quantitative methods which can be used for description of economic time series. Vector autoregressive models and cointegration analysis play an important role in description of economic events. Multidimensional non-stationary process is called cointegrated if there is a linear combination of its one-dimensional components, which is stationary or trend-stationary. Economic time series are predominantly non-stationary, nevertheless, one can nd linear links which keep that whole system in so-called long-term equilibrium. The Granger causality test is employed to analyze causal relations between time series. Next useful tools for analysis of economic time series are methods of change point detection. Authors compare standard statistical methods of change point detection with the method based on the sparse parameter estimation. All mentioned methods are applied to real economic data sets. (en)
Title
  • Selected Methods of Economic Time Series Analysis
  • Selected Methods of Economic Time Series Analysis (en)
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  • Selected Methods of Economic Time Series Analysis
  • Selected Methods of Economic Time Series Analysis (en)
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  • RIV/60162694:G42__/12:00478979!RIV13-GA0-G42_____
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  • I, P(GPP402/10/P209)
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  • 167291
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  • RIV/60162694:G42__/12:00478979
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  • cointegration; Granger causality; change point (en)
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  • [4FCA4ACB0580]
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  • Brno
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  • Brno
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  • XX International Conference PDMU-2012: Problem of Decision Making under Uncertainties
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  • Neubauer, Jiří
  • Odehnal, Jakub
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  • Univerzita obrany
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  • 978-80-7231-897-1
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  • G42
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